1

OPERATORS AND NOTATIONAL CONVENTIONS

{Xt2|Xt1}= Conditional probability of Xt2 given the value of
Xt1
T

= value of contained in T

Cov{x}

= Covariance matrix of the random vector x,

_{(x-^
x)(x-^
x)T

_x

= Mathematical expectation of random variable x

Var(x)

= Variance of random variable x

A-1

= Inverse of Matrix A

= Process output

yM

= Model output

(t)

= Noise in regression Model

w(t)

= Plant noise

v(t)

= Measurement Noise

{S}

= {set of system variables}

{S}

= {Set of system Parameters}

= Spectrum of Z

gz

= Cross-Spectrum between g & z

h(t,)

= Weighting function

H(s)

= Transfer function

VW

= Cov{ w(t),w(s)}

g(t)
^

= Estimate of g

(t-s)

= Dirac Function

x(t0)

= Expectation of x(t0)

Vx(t0)

= Covariance of x(t0)

_._

= Norm of Matrix

= Model

'_'

= True system

= Error between actual output and measured output

= Plant Matrix(Continuous-time)

= Control Matrix(Continuous-time)

= Observation Matrix(--do---)

AD

= Discrete analogue of A

BD

= Discrete analogue of B

CD

= Discrete analogue of C

V(t)

= Discrete analogue of v(t)

W(t)

= Discrete analogue of w(t)

VVW

= Cov{v(t),w(t)}

RVW

= Discrete analogue of VVW

ABSTRACT
The most popular real-time filtering algorithm for
non-linear system is perhaps the Extended Kalman Filter (EKF).
EKF is an approximate filter for non-linear systems based on
first order linearization.

Its use for joint parameters and

state estimation problem is well known and widely studied.

Parameter

estimation

for

attracted much papers in the past.

an area of extensive research.

continuous-time

has

not

However, at present this is

EKF apparoach to estimation of

joint states and parameters has not achieved the same status as
the other methods because of the divergence associated with it
or

huge

computational

requirements.

Gain

matrix(weighting

function) is required to be modified in order to make the

algorithm workable.

So far as

concerned,it is less prevelent.

continuous-time approach is
The latest approach reported

by Sinha and Nagraja (1990) for continuous-time suffers from

disadventage

that

it

involves

the

sampling

time

in

the

algorithm-whereas continuous-time algorithm should be free from

the same.
In this dissertation, a continuous-time EKF algorithm
for joint estimation of States and Parameters is reported.

The

algorithm is not only simple and computationally efficient but

is

very

good

identifier.

Convergence

of

parameters

were

achieved with various initial states and SNR's in minimum time.

The algorithm does not significantly depend on the choice of

initial states. However, choice of the observation noise is
critical to avoid the divergence of the filter.
Discrete-time EKF with proposed modification
of Landau(1979) and Yoshimura (1981) was also simulated.
It

is

believed

that

algorithm

reported

in

this

dissertation can be used for real-time applications in various

fields.

CHAPTER-1

INTRODUCTION

Physical systems are designed and built to perform

predefined

functions.

Submarine,aircraft

and

spacecraft

must

navigate in their respective environments to accomplish their

objectives, whereas an electric power system network must meet
the load demand.In order to monitor system performance and to
design control strategy, the engineer must know the state of
the system. In navigation, the state consists of position and
velocity of the craft in question, in an ac electric power
system, the state may be taken as voltages and phase angles at
network nodes. Since physical system is subjected to random
disturbance, the system state may itself be random. The state
of

system

is

determined

through

devices(e.g

sextant,radar,voltmeter) by taking measurements or observation

on the system. These measurements are generally contaminated
with noise caused by the electronic and mechanical componments
of the measuring devices. Thus problem of determining the state
of the system from noisy measurements is called estimation or
filtering and is the main subject of this dissertation. However
estimation of both states and parameters have been resorted to
in

this

dissertation.

engineering

since

state

It

is

of

estimates

immense
are

importance

required

in

in
the

monitoring , and for the control of system whereas parameter

estimation

can

facilitate

observer etc. State space

in

designing

fault

approach because

-diagnostic

of its inherent

advantages has been adopted to filtering.

System
techniques

identification

have

been

theories

developed

and

greatly

by

practical

number

of

researchers in the last two decades due to the rapid growth of

digital

computers.

identification,
identification

In

the

literature

well

known

would

include

the
methods

of

system

parameter

standard
such

as

recursive

[1,2,3]

Least

Squares (LS), Generalised Least Squares (GLS), Extended Least

Squares

(ELS),

Maximum

Likelihood

(ML)

and

Instrumental

Variable Method (IV) also called Bootstrap Estimator. There are

many texts and numerous literature surveys on lumped parameter
identification methods for linear time invariant system

[4]

(Ljung,1987;Sderstrm

and

Soderstrom,1983;).
multi-input

and

Stoica,1989,Ljung

Iserman et al (1992) essay the topic of

multi

output

identification.

Usually

these

well

known algorithm are based on the assumption that the input

signal is known exactly.
However,

in

practical

situations,

it

may

not

be

possible to avoid the noise when measuring the input signal,

and

hence

the

standard

erroneous results.
a

resurging

identification

methods

may

give

Therefore, in recent years, there has been

interest

in

such

problems.

Since

the

Kalman

7
structure

represent

representation,it

has

appropriate
great

application for estimation.

noise

intuitive

and

appeal

signal
for

its

Then identifiability problem in

the situation of the presence of the input-output measurement

noises

was

discussed

by

[5]

Kalman

(1983),

Deistler

and

Anderson (1989), etc. However, so far only a limited number of

works have discussed the parameter identification techniques of
discrete

time

Sderstrom

system

(1989)

in

the

presence

investigated

some

of

methods

input

noise.

of

system

identification from noise corrupted input output data using PEM

and pointed out that the joint output (JO) approach using PEM,
is

computation

results.

intensive.

Chapter-2

is

However,
devoted

it
to

leads
the

to

accurate

Identification

procedures,however, no rigorous analysis of all methods essayed

therein has been carried.

We have concentrated only on the

estimation

Filter

through

Kalman

(continuous

time)

and

historical backaground of this filter is given in Chapter-3.

The determination of continuous time model parameter
from measured input and output data has now reached a mature
stage.

Based on the sampled measurements, we would like to

estimate a model of the system.

Possible solution to the

problem are [6]:

i)Estimate the continuous time system parameters.
ii)Estimate a discrete time model and then in a second step
compute the corresponding continuous time model.

8
Chapter

-4

is

dedicated

to

the

estimation

of

parameters and states of the continuous time model-the topic

,we have concentrated on in this thesis by adopting the first
approach and exclusively putting in use the Extended Kalman
Filter(EKF).

Our motive behind the selection of approach first

evolves from the following

facts:

1)Use of continuous time model means

physical

process

represented

direct relation to the

since all

by

the physical

differential

estimation

can

be

used

parameter

estimation

to

equation
monitor

can

be

models are

and

system

used

parameter
i.e.

as

the

diagnostic

observer.[7]
2)It is independent of sampling rate and the physical meaning
of

the

process

1s

retained

in

the description.[5]

3)This approach has received considerable attention in recent

years [8,9].
Contrary to it, the approach Second has been
extensively studied and widely understood ,since, it is often
most convenient to use the samples of the input output data and
digital computer. While selecting the approach second, one of
the

key

issue

continuous

is

time

rate/interval

is

that

of

stochastic
critical

sampling

rate;

how

to

Choice

of

sampling

identification

procedue

process.
to

the

sample

[6,10].
Furthermore,

not

only

does

the

model

change

9
drastically as the sampling interval is reduced but it also
does

not

bear

continuous

any

time

direct

model

correspondingly

resemblence

obtained

the

transfer

using

to
the

the

corresponding

operator,

function

in

or

s-domain.

Particularly, if the sampling interval is large, we lose a lot

of information contained in the data e.g. if a signal contains
sinusoids which are harmonics of the sampling frequency, these
would be completely missed in the process.
reduction

in

difficulties.

the

sampling

interval

On the other hand

causes

computational

Practical considerations show that the sampling

frequency must not be less than twice and not more than 5 times
the largest undamped natural frequency of the system to the
identified.
We have concentrated on the EKF approach to estimate
both parameters and state of the system which is posed as a
non-linear estimation problem.

Our choice of EKF as Joint

State and Parameter Estimator is

for the following reasons :

1)Kalman filter is well established method for state estimation

in optimal sense because EKF can be expected to retain
formulation and have optimal properties.
2)In practice , the parameters and statistics are seldom known
exactly but the Kalman filter still provides very good
performance

due

to

its

inherent

robustness

to

model

uncertainities.
3)Representation of Kalman filter structure in the state space

10
offers

flexible

generic
and

structural

portable.

approach
All

this

implemented on the digital computer.

application

of

Kalman

filter

which

can

is

be

both

readily

However, successful

relies

heavily

on

the

selection of appropriate state-space signal model [11].

In Chapter -5 Extended Kalman Filter(Discrete Model )
has been studied for estimation of States and Paramters of the
system with suitable illustration.
Chapter

-6

concludes

the

efficacy

of

the

Joint

Estimation of Parameters and States of the system through EKF

approach and its further scope are also discussed.
Before

extensive investigation and discussion of the

topic is undertaken,let define some of the terms which will be

encountered in the subsequent chapters. It is believed that the
definitions given here are satisfactory, that the terms are
suggestive of their meanings.
1.Optimal Filter [12]:

An optimal filter is one which gives

the best in some sense, estimate of the current,

future state of a system at t>to.

or of the

But in the non-linear systems

the class of admissible filters may not contain such a filter

which gives the best estimate at all t>to.
would

be

optimal

simultaneously.
2
t-Xt] =min

with

respect

to

Really such a filter

a

set

At every fixed moment t>to, the

of

criteria

condition _[^
X

or _[^
Xt-Xt+_]2=min represent a criterion of optimality.

The requirement that this condition be satisfied for some set

11
of values of t is in fact the requirement that the filter be
optimal

with

respect

simultaneously.

to

the

corresponding

set

of

criteria

In other words, the problem of optimization of

a filter at all t>to represents a problem of multi-criteria

Optimization.

Such problems have no solutions as a rule.

The

Kalman - Bucy filter which gives the optimal linear estimate of

the

state

of

linear

system

at

every

t>to

represents

an

exception.
The absolutely optimal filter giving
x
^

t=

_(/yt0t) at all t>to belongs to the class of admissible

filters in this case.

So the optimality of a filter should be

defined in such a way that the solution of the problem is

possible.
An officient and exact solution of the optimal filtering
problems is only possible in the cases where equation

dy = 1 (y, x, t)dt + i (y, z,t)dw

(1.1)

dx = (y, x, t)dt + (y, z,t)dw

are linear

or are linear only in the state vector x with the

function independent of the state.

has

sense

only

in

such

cases

Optimal filtering theory

where

the

estimate

can

be

calculated on-line while obtaining the results of observations.

Optimal results are obtained at each instant "t" by processing
the observation data received before this moment without using
the future observations.

12
In order to obtain the optimal solution for nonlinear equations ,it is desirable to linearise them.

It is

also desirable that dependence of state X is characterized by

the covariance matrix since it will reduce the no. of equations
representing the posteriori distribution of the process.
2.

A deterministic system is a system whose parameters can be

specified with certainity.

3.

A random(or stochastic ) system is a system one or more

parameters of which can't be specified with certainity but are,

instead, distributed in some random manner.
4.

A discrete-time ( or discrete) system is a system in which

one

or

more

dependent

variable

functions

of

time

are

characterized or defined by values they assume at discrete

instants.
5.

A continuous -time( or continuous) system is a system in

which a continuous range of time is required to define each

dependent variable function of time.
6

A differential equation of the type [13]

(1.2)

dx(t) = f[x(t), t]dt + G[x(t), t]du(t)

is termed as Stochastic differential Equation.

response,

or

state

vector

by

formal

We can find the

integration

of

the

equation i.e.
x(t) - x(0) = t0 f[x( ), ]d + t0 G[x( ), ]du( )
t

(1.3)

13

Where

du(t)

integral of

is

the

Wiener

process-which

a zero mean stationary-

is

defined

gaussian-

as

the

white noise-

process w(t) or
u(t) = t0 w( )d , u(0) = 0 where
t

(1.4)

cov {w(t), w( )} = Q. D (t - )

Before we discuss the issue further ,let us have a look at the

Wiener Process;
Wiener Process u(t) has independent increments i.e.
u(0)

and

the

random

u(t1),.........,u(tk)-u(tk-1)
1>.....>t00.

variable

are

U(t1)-u(t0),u(t2)-

independent

for

tK>tk-

It has the following properties:

i)It is a Markov Process

ii)It is a martingale process in that the conditional
expectation,

u(tK),

given

the

observed

values

u(t0),u(t),.......u(tk-1)is equal to the most recently

observed

value

u(tK-1),

where

tK>tK-1>..........>t0

thus;

_ u( t k ) | u( t k -1 ,u( t k -2 ),.....,u( t0 )= u( t k -1 )

(1.5)

iii)Wiener process possesses the L_vy Oscillation property

in that , if = t0,t1,.....,tK is a partition of
interval [0,T] such that t0 =0, tK= T ,then [ ]

14
k -1
Lim

0
[u( t k ) - u( t k -1 ) ] 2 = T.Qw

max( - )
t k t k -1
k

The

second

integral

of

Eqn.(1.3)

(1.6)

is

stochastic

integral in general case in which G is a function of x(t) .

This integral involves two random functions and its integration
is defined as [13]
I(t) = t0 G(t. )du( )
t

Lt k -1
=k G(t,t i )[u( t i+1 ) - u( t i )]
0 i=1

7.

Random Noise:

(1.7)

Since noise is an inevitable attribute of

any physical system, its effects must be considered .In proper

control system design noise may be generated within the system
or

the

input

signal

contaminated

more

defined

insidious

as

any

In

Specifically, however, modern noise theory has been

a

be

noise.

signal.

handle

can

with

of

to

noise

be

general,

developed

course,

may

enemy-random

unwanted

noise.

Physically random noise can be generated by atmospherics in a

radio communication link or by random electron motion in vacuum
tubes and resistors.
Random

noise

[14]

is

any

noise

whose

present

amplitude can't be predicted with certainity from a study of

previous values of the signal.

The random noise may be a

15
continuous wave which could be generated by an infinity of
interconnected sin- wave oscillations.
were

timed

to

frequencies

at

If the oscillations

random

but

within

certain

frequency band, the output would be called band- limited noise

Another type of random noise is a signal whose amplitude is
either 1 but whose zero crossings are distributed in some
random manner.
reasons.

This form is called binary noise for obvious

The random noise could be confined to continous waves

with finite discontinuities; this random signal could consists

of impulses with amplitude distributed in some random manner.
Examples of the same are given in Fig.1.1.
It is not possible to predict the exact value of any
random function at any given instant of time as can be done
with conventional function.
say

that

description

At best, it is possible only to

of

this

random

deterministic, but only probabilistic.

function

cannot

be

In control system it is

desirable that input signals must be random or there is little

need for closed-loop system.

This is simply to say that it is

not possible to predict exactly a system's input but only a set

limits within which input may be expected.

If the exact input

were known, a simple open-loop actuator could be used instead

of a more complex closed loop system.
8.

Markov Processes [15]: Ordinary differential equations play

very important role in the analysis of deterministic dynamical

systems.

The

importance

of

ODE

stems

in

large

part

from

17
certain nice mathematical properties that they enjoy.
The differential equations
dx(t)/dt={x(t)}

(1.8)

says that the rate of change of x at time t depends only on x

at t (now) and not on x(), <t.

As a result of this and as is

well-known, for t1<t2

x(t2) = g{t2 ;x(t1),t1}

(1.9)

That is, the solution at t2 is a function of x(t1) and

does not depend on x(), < t1
This property of ODE's has its stochastic analogue
in a class of processes called Markov Processes.
As

discrete

or

continous

parameter

stochastic

process {xt,tT} is called a Markov Process if, for any finite

parameter set {ti : ti<ti+1} T, and for every real ,

xtn ( ) _ xt1 ,......, xtn-1

(1.10)

The Markov property says that the probability law of

the process in the future, once it is in a given state, does
not depend on how the process arrived at the given state.

This

property is sometimes referred to as the generalised casuality

priciple; the future can be predicted from a knowledge of the
present.

Markov property is the basic assumption made in the

study of the stochastic dynamical system.

For

continuous

parameter

implies that for all t1<t2 and all

process

Eqn.(1.10)

18

xt2 ( ) _ x , _ t 1=xt2 ( ) _ | xt1

(1.11)

Markov property can be written in terms of density function.

xtn | xt1 ,.. xtn-1=xtn | xtn-1

(1.12)

where t1<t2 ,....... < tn). Eqn.(1.11) becomes

xt2 | x ,_ t 1=xt2 | xt1

(1.13)

Now we consider the joint density function

xtn , xtn-1 ,....., xt1

(1.14)

By defination of the conditional density function, this can be

written as

xt n ,....., xt1= xt n xt n-1 ,..., xt1

x xt n-1 ,..., xt1

(1.15)

Now, using the Eqn.(1.12), we finally obtain:

xtn ,.., xt1=xtn | xtn-1 .xtn-1 | xtn-2...xt1

Therefore,

the

conditional

law

of

Markov

(1.16)

process

can

specified by specifying _(xt) and _(xt/x)for all t> T.

conditional

densities

are

called

the

transition

be
The

probability

19
densities of the Markov process.
9.

White-Noise

[15]:In

modelling

any

physical

process

or

device, be it as simple as pendulum or as sophisticated as a

spacecraft

guidance

and

control

system,

the

variables

describing the process are delineatd and then connected via

certain casual relationships or physical laws. Then the model
can be simulated to determine how well it can predict the
physical process.
inexact.

It is often found that

predictions are

At this point, the process can be remodelled in order

to obtain better predictability.

satisfactory. However, if the

The results may or may be

process is repeated many times,

a stage will reach where further modelling does not improve

this

prediction.

This

may

be

because

there

are

actually

unpredictable fluctuations in the process for which no casual

relationship

exists,

or

there

is

random

errors

in

the

instruments- used to measure the physical processes, or both.

This is what we call as the "noise level".
statistics

of

determined

by

the

noise

repeated

(its

At this point, the

probability

experimentation

with

law)
the

can

be

process

or

device and statistical testing.

A useful concept and in many cases a good model for
the "noise" is white noise. A white random sequence for which

xk | xl=( xk ), K > l

i.e., all the xK's are mutually independent.

(1.17)

As

20
result,

knowing

the

realization

predicting what xK will be.

and

totally

of

x1

in

no

way

helps

in

A white noise is completely random

unpredictable.

If

the

xK's

are

all

normally

distributed, the {xn} sequence is called a white Gaussian random

sequence.

Noise due to this superposition of a large number of

small, independent, random effects is often Gaussian, and that

this

is

the

statement

of

the

central

limit

theorem.

importance and usefulness of white Gaussian sequence

The

stem from

this fact. The motivation for calling the sequence white will
become apparent from the discussion of the continuous parameter
process.
Let {xn,n=1,2,...} be a White Noise Gaussian Random
vector

sequence.

Because

the

sequence

is

Gaussian,

its

probability law is specified by the mean value vector.

_{xn}

all

n>1

and

the

covariance

matrix

_[{xn-_(xn)}{xm-_(xm)}T], all n, m >1

Because this sequence is white,

where is

x - _ x x
n

T
- _ xm = Qn nm

(1.18)

the Kronecker delta and Qn is a positive

semidefinite matrix.
Let us now consider the continuous parameter case.
We may define the white process {xt,tT} as a Markov process for
which

xk | x ={ xk }, t > T

(1.19)

21

i.e., the xt's are mutually independent

for all tT,

If the

xt's are normally distributed for each tT, then the process is
a

white

Gaussian

process.

expressing the properties,

process.

This

formal

definition,

though

is not useful in characterizing the

We attempt to characterize the process indirectly,

consider a scalar zero-mean stationary Gaussian process with

correlation function.

(t + ,t) = 2 ( /2) e- | |

Now

for

large

this

process

(1.20)

approximates

properties we wish for our white Gaussian Noise.

the

We note that

if is an integer, then the sequence

| , 1 < 2 ....)
2

defines the dirac delta function. Therefore

= 2 ( )

(1.21)

We ,therefore , normally define a white Gaussian process { xt, t

T } as a Gaussian process with
_{ ( xt - _ xt ) ( xt - _ xt )T } = Q(t). (t - )

Where

Q(t)

is

positive

semi-definite

(1.22)

covariance

22
matrix, and

reasons

process

this

process.

is the Dirac delta function.

is

often

called

delta

For obvious
-

correlated

Since the Dirac delta function is not an ordinary

function, the white Gaussian process is a mathematical fiction.

To gain more insight into the properties of white
Gaussian Noise, consider the power spectral density function,
which is defined as the Fourier transform of the correlation
function.

( ) = - e-i (t + ,t)d

(1.23)

For the process with correlation function (Eqn.(1.20)), the

power spectral density function is computed to be

( )=

2
1+ ( / )2

(1.24)

with

= , p ( ) = 2

a positive constant.

This is the origin of

the adjective White in white Gaussian process.

It is used by analogy with white light, which contains all
frequency components.

But a constant power spectral density

requires infinite power and, therefore, white Gaussian noise is

not physically

realizable.

If the power spectral density is

essentially flat up to very high frequencies, the process is

called a wide band process.
a delta function.

Its correlation function is almost

23
A Gaussian signal has following properties [14]:
i)If a Gaussian signal is passed through a linear network,
the output signal is again Gaussian; this invariance
property belongs only to Gaussian signals.
ii)In fact, as a consequence of Central limit theorem,
even

non-Gaussian

through

respect

to

filter
the

Density
whose

input;

function,

pass

band

spectrum

when

passed

is

narrow

tends

to

with

become

gaussian.
iii)Gaussian processes occur widely in nature, and it is
indeed

fortunate

that

they

are

easiest to handle analytically.

..!..

at

the

same

time

CHAPTER-2

IDENTIFICATION

Most
specifically

of

the

problems

those associated with

in

system

Engineering

control can be sub-divided

into four inter-related parts [16]:1.Goal identification,

2.Determination of position with reference to goal,
3.Determination of environmental factors affecting the past,
present

and

future

system

model.

and

consequent

establishment

4.Determination of a control policy in accordance

goal

identification(#1), knowledge

of

of

with the

the

current

state(#2),the system model and environment(#3).

In general the control functions can be classified as
,the

identification

function,decision

function

and

control

signal modification [14].

In this thesis, I have concerned myself with step
#3 of the aforementioned four steps in a system model i.e.
determination

of

the

system

model

from

records

of

system

operation using state space representation of the model.

general

problem

of

system

identification

is

to

The

determine

unknown sytem parameters, (t) from the oservation of system

output Z(t) in presence of noise;

25

Z(t) = x(t), u(t), w(t), (t), v(t),t

(2.1)

where
x(t) is the state vector ,u(t) is the input signal ,w(t) is
input disturbance,(t) is the unknown parameters of the system,
v(t)

is

the

observation

noise.

The

State

vector

x(t)

is

assumed to evolve from the stochastic differential equation.

X(t) = x(t), u(t), w(t), t

(2.2)

In general the order of the differential equation is

not known. For most of the identification schemes we propose,
an assumed model of known order .
The

general

identification

problem

is

illustrated

schemetically in Fig. 2.1

Solution of problems of identification involves the
determination of unknown vector (t) and the order of (t) is
unkonwn.

This parameter vector may consists of co-efficients

of the system differential equation and mean and variance coefficients of the system noise w(t) and observation noise v(t)
as well.

General identification problem can be classified as

under [16]:i)Noise free identification in which W(t) and

not present.
ii)The system and observation model are linear.

v(t) are

27
iii)No

observation

of

the

input

noise

W(t)

is

possible.
iv)The system model and/or observation model are non-linear .
In summary, Identification means the diagnosis of a
black box.
known

The process of identifying an unknown process is

under

different

guises

'estimation';'characterization';

such

as

'identification';

'evaluation';'modelling';

or

'measurement'. The word 'process' may include a control system,

a network, a communication system, a biological system, an
economic system or a socialogical system.

In other words, we

can say that design of a model of a system or of any process is

usually called the Identification.

As per

[ ] Zedah (1971)

identification is the determination on the basis of input and

output, of a system within a specified class of system to which
the system under test is equivalent.

In reality, we can't

obtain a model which is not amenable to errors.

not be identical to the true system.

Thus, it will

Though identification

and estimation are two separate terms, but they are still used
interchangeably.

Identification

means determination of the topology

or structure of the system, considering the black box, while

estimation

involves determination of the parameter of the system,

given the topology of the system.

For engineering estimation

is more realistic since some a-priori information regarding the

structure of the system is always available.
In

Identification,

we

collect

normal

input

and

28
output,

determine

and

devise

weighting

function

by

some

techniques so as correlate them to identify system structure.

2.1 NEED FOR IDENTIFICATION
In sixties [17], man-made control was widely used
ranging

from

complicated

the

simplest

multi-loop

form

system

of

using

improve the quality of control.

ON

OFF

auxilliary

control

to

variables

to

Besides this, the theory of

automatic control reached a very high level of generality and

publicity. The classical tools were getting replaced by the
promising concept of the State-Space representation,
Programming

and

Kalman

filtering,Bellman's

Dynamic

Pontryagin's

Maximum Principle .

Finally, in the beginning of sixties ,it

was already quite clear that computers would replace to a wide

extent

the

facilitate

conventional
the

PID

application

computer-aided-design

of

controllers,
any

and

theoretical

they

would

concept

with

The most advanced theories at

that time started by postulating the knowledge of mathematical

model of the plant to be controlled and of noise if needed.
Moreover,

the

model

was

required

to

be

of

convenient for the particular kind of theory.

specified

type

However,it is

well known that no mathematical model can represent truely a

system.

Even if , system equations are available, it often

happens that knowledge of particular parameter is missing. To

obtain the lacking knowledge methods for ascertaining the model
structure from input/output measurements are resorted to.

This

29
aspect of inferring models from observations and studying their
properties motivated to opt for the identification procedures.
Availability of computers gave further impetus to this field.
The interest in this field has widely differing roots [18]
i)the

desire
knowledge
control

of

the

of

the

and

the

practising
specific
lower

engineer
plants

to

in

operating

obtain

order

cost

or

to

better
improve

increased

efficiency.
ii)the task of studying high performance of aero and space
vehicles,as well as the

dynamics of down-to-earth-objects

like railway carriage and hydrofoils .

iii)study of the human being in tracking action and in

other

types of control.
iv)research of biological functions e.g.neuro-muscular system
like eye pupil response, arm and leg control,heart rate
control etc.
The need and possibility of estimation has undergone
substantial changes with the development of computer hardware
and software.
2.2 PURPOSE OF IDENTIFICATION [2]
While contemplating the solution of an identification
problem, we must have the purpose of the identification in
mind.

The purpose of identification will,however, vary from

one field to the other and from one problem to the other.
control problems

In

design of control strategy is the ultimate

30
aim.

There may be situations where primary interest is to

diagnose the system i.e. analyse the properties of a system:

e.g. determination of rate co-efficient in chemical reactions;
heat

transfer

co-efficients

of

Industrial

reactivity co-efficients in nuclear reactors.

process

and

Many problems of

such types are encountered in biology, economy, and medicine.

In

control

identification

is

too,

to

even

design

if

the

control

purpose
system,

of
the

characteristics of the problem might vary widely depending on

the nature of the control problem.
1)
2)

We may have problems like :

Design a stable regulator.

Design a control program for optimal transition from one

state to another.
3)

Design

process

regulator

which

minimises

the

variation

in

variables due to disturbances.

For

the

first

case

even

system dynamics will be sufficient.

require a fairly accurate model.

the

crude

model

of

the

The second problem might

In the third problem, it is

necessary to have the model of environment of the system.

In

most

practical

problems,

sufficient

-priori

information about a system and its environment is not available

and

hence

experiments

are

required

to

be

performed

during

normal operation of the plant under consideration to have the

realistic model.

This means if there is perturbation in the

system, it should be small so as the production is hardly

31
affected/disturbed.
acceptable

limits,

To have the process fluctuations within

it

might

be

necessary

to

regulators in operation during the experiment.

important

influence

on

the

estimated

have

several

This will have

results.

During

the

course of identification many question may such as;

1)How should the experiment be planned? Should a sequential
design be used i.e.plan an experiment using the available
a-priori

information,perform

that

experiment,plan a

experiment based on the result obtained etc. When

new

should

the experimentation stop?

2)What kind of analysis should be applied to the results of the
experiment in order to arrive at control strategies with
desired properties?

What confidence can be reposed in the

results?
3)What type of perturbation signal should be used to get as
good results as possible within the limits of experimental
conditions?
4)If a digital computer is used what is the suitable choice of
the sampling interval ?
Inspite

of

large

work

carried

out

in

the

identification field,we have at present practically no general

answers to the problems raised above.

In practice most of

these general problems are answered in an adhoc manner, leaving

the analysis to more specified problems.
2.3 PROBLEM FORMULATION

32
Interaction with a system, needs some concept of how
its

variable

relate

to

each

other.

Such

an

assumed

relationship among observed variables is called a model of the

system.
state

The model that describe the relationships among the

variables

in

terms

of

mathematical

expression

like

difference or differential equations are termed as mathematical

models.
of

Mathematical models can be characterized by a number

adjective

(time-continuous,

time-discrete,

lumped

or

distributed, deterministic or stochastic, linear or non-linear

etc.).

Problem of designing mathematical models of the system

to be controlled is of great importance, especially in those

cases

where

the

system

is

of

complex

nature

and

can't

be

described by the equations given by the physical laws or the

laws of some other branches of science which use mathematical
descriptions of the studied phenomenon.

Naturally, one has to

rely on the experiments for obtaining the accurate mathematical

model.

In such cases, one may use following ways of designing

a mathematical model of a studied system [12].

-by conducting preliminary study of the system
and thereafter, writing supposed

regularities

equations of the system

with indefinite parameters.

-using the results of observations of the system functioning to
estimate the unknown parameters.
-validating the accuracy of the model i.e.whether its behaviour
agrees with the real system or not.

33
After studying and validating a number of variants
of the system model one may choose the most suitable one.Since
no mathematical model can represent truely a physical system,
we can obtain an equivalent model.
To obtain a model [2] , specification of a class of
systems

_ = {S}, class of input signals U, and the meaning of

"equivalent" is necessitated.

Thus the system under test will

be termed as system and elements of '_'

will be called model.

Equivalence is always defined in terms of a criterion or a loss

function which is a functional of the process output Y and the
model output YM i.e.
(2.3)

V = V(y, y M )

Two models M1 and M2 are then said to be equivalent if the

value of the loss function is the same for both models i.e.
(2.4)

V( y1 , y M 1) = V( y1 , y M 2)

The selection of class of models '_ ', the class of

input signals 'U ', and the criterion is largely influenced by
the apriori

knowledge of the process as well as by the purpose

of the identification.
Class of model
such

as

impulse

functions,spectral

characterised by the representations

responses,transfer
densities,volterra

functions,covariance

series

are

termed

as

34
NON-PARAMETRIC models and those characterised by state-space
representation such as

x = (x, ,u), y = (x, ,u)

t

(2.5)

where is a parameter vector is termed as PARAMETRIC

MODEL.
When

equivalence

is

defined

by

means

of

loss

function, the identification problem is simply an Optimization

problem
In
probablistic
parametric

an identification problem, if imbedding in a

frame

class,

work
_

is
{S

done
}

by

where

defining

is

the

as

parameter.

The

identification problem then reduces to a parameter estimattion

problem.
of

Such formulation makes it possible to exploit the lot

estimation

and

decision

theory.

In

particular

,it

is

possible to use special estimation methods, e.g. the maximum

likelihood method, Bays methods or the min-max method.
2.4 IDENTIFIABILITY

[19] :

Identifiability is the concept that is central in

identification problems.

Loosely speaking , the problem is

whether the identification procedure will yield a unique value

of the parameter , and/or whether the resulting model is
equal to true system.

This issue involves aspects on whether

the data set ( the experimental

conditions) is informative

35
enough

to

distinguish

between

different

models

properties of the model structure itself.

as

well

as

If the data are

informtive enough to distinguish between non-equal models, then

the question is whether different values of can give equal
models.

Identifiability is defined as under ;

i)A model structure is globally identifiable at * if M() =

M(*),Dm=*
ii)A

model

structure

is

globally

identifiable

if

it

is

identifiable

if

it

is

globally identifiable at all *Dm.

iii)A

model

structure

is

globally

globally identifiable at almost all *Dm.

iv)A model structure M is locally identifiable if there exists
an such that

M()=M(*),(*,)=* where (*,)

denotes an - neighbourhood of *.
The identifiability concept will provide useful guidance
in finding an M such that it is true representation to the
unknown system _.
2.5 IDENTIFICATION PROCEDURES [17]:
2.5.1 LINEAR SYSTEM:
The

mathematical

model

of

time

invariant

linear

system frequently used in control system can be described as ;

STATE SPACE REPRESENTATION
dx

= Ax(t) + Bu(t) + w(t)

dt

y(t) = Cx(t) + Du(t) + v(t)

STOCHASTIC DIFFERENTIAL EQUATION

(2.6)

36
(2.7)

dX(t) = Ax(t) + Bu(t) + G(x(t),t)dw(t)

GENERALISED REGRESSION MODEL

y(k - 1) = ai y(k - 1)+ b1 u(k)+(k)

Na

Nb

(2.8)

where
u

- Input variable

- State Vector

- Output variable

V,W,

- Noise

A,B,C,D

- Matrices of parameters

ai , bi

- Parameters

Na

Nb

Upper

bound

of

the

past

history

considered
The input noise W(t) and output noise V(t) may be
termed as White ,mutually independent and Gaussian distributed.
2.5.1.1 DETERMINISTIC APPROACH
The

identification

schemes

can

be

classified

according to the basic elements of the problem,i.e. the class

of system _ , the input signal U , and the criterion.

The

mathematical approach may be either deterministic or stochastic

type.
system

In the first case noise is either not acting on the

or it is negligible.

Some deterministic approaches

admit zero mean noise but they can't express the uncertainity
of the estimates caused by the noise. Some of the examples
illustrating the main idea may be found in [17].

37
Some identification procedures apply an error cost
function assuming the existence of noise.

To this category

belong orthogonal filters & Model adjustment technique.

2.5.1.2 STOCHASTIC APPROACH:
Stochastic
importance .

methods

of

identification

are

of

great

The salient feature of the stochastic method

which shows the difference with respect to the deterministic

methods are :
i)Stochastic methods of identification are based on the
numeric evaluation of large number of data and thus
making it absolute necessary to use computers.
ii)Noise

is

assumed

to

be

considered to be unknown.

acting

on

the

system

and

is

However,it is assumed that the

noise satisfies some statistical properties i.e. it has

certain

type

of

distribution

and

has

convenient

first

moment i.e. mean value but the actual noise acting on the
system at the sampling instant is unknown.
unmeasureable whereas the
measured.

However,

The noise is

system input and output can be

measured

data

never

give

the

exact

values e.g. of the sought parameters but only estimates.

So

an

estimator

unbiasedness

should

satisfy

some

conditions

convergence,

like

consistency,

efficiency, sufficiency etc.

If all the possible information is exploited for
estimation, it is probable that the estimated value will be in

38
the neighbourhood of true value i.e. variation from the true
value will be very small.

Mostly the quality of estimates is

formulated for infinite number of samples and while in practice

we are not having infinite number of samples and thus we can't
reach at the true values.
The

Stochastic

approaches

of

identification

are

categorised according to the error cost function chosen for

examination of the

estimation quality and according to the

probabilistic concept.

Mostly the criterion is expressed as a

functional of an error [2]e.g

T

V(y, y M ) = 0 e2 (t)dt

(2.9)

where Y is the process output , YM the model output and e the

error : Y, YM, and e are considered as functions defined on
[0,T].
2.5.2 NON-LINEAR IDENTIFICATION
In general for non-linear identification

observation

model can be represented as Eqns.(2.1) & (2.2) with (t) as the

unknown parameter vector of the system.
For

non-linear

system

identification

,it

is

adventageous to profit from the state-space represenation .

In this case the state vector is extended by the parameter
vector (t) so that the extended state vector is (t) = [
x(t),(t)]T
For time-invariant case it follows that
d/dt =0

(2.10)

39
Furthermore it is customery to estimate both states
and

parameters

simultaneously

,if

needed.

The

various

identification procedures for non-linear system identification

are ;
- Gradient Technique
- Stochastic approximation
- Quasilinearization
- Difference approximation
-

Non-linear

filtering

- Invariant imbedding
2.6 DESIRABLE FEATURE OF IDENTIFICATION PROCEDURE [20]:
a) Class of the Models:Because of the versatility of State-space model, it is the
obvious choice for representations.

In fact identification is

often the first step towards the control of a process; a state

space

model

can

be

directly

used

since

almost

all

modern

control and optimization theory is based on the use of these

repsentations.

However, it shall be noted that parametric

model requires the previous estimate of the order and structure

of the process; infact they give large error when their order,
and/or

strucutre,

does

not

correspond

to

the

process

However, it is desirable that process is modelled with minimum

number of parameters in order to optimize the computations.
b) Class of the inputs:
The restrction of the class of the inputs to particular

40
signals

as,

for

instance,

pulse

functions,

step

functions

pseudo-random binary sequences (PRBS), white or coloured noise

or sinusoidal signals introduce very severe limitations to the
real applicability of an identification procedure since only
seldom can these inputs be applied to real process.

It is on

the contrary desirable to avoid limitation to the class of the

input in order to allow the identification of a process on the
basis of normal operating records.

Obviously some of the input

sequences that can be applied to a process are not suitable for

its

complete

identification

(e.g.

constant

input),

apart,

however from the suitability of the input sequence for the

identification of the process no further condition should be
introduced.
c) Process initial State restrictions:
There should not be any restrictions regarding the
process

initial

unrealistic).

state

(zero

initial

states

are

very

It is also desireable to obtain an estimate of

the initial state not only a model of the process.

d) PROCESS AND THE MODEL EQUIVALENCE
A model is equivalent to a given process when it exhibits
the

same

external

behaviour

i.e.

when

for

every

inital

condition of the process there exists a corresponding initial

state of the model which generates the same output sequence as
the process for every possible input sequence.

41
.._..

CHAPTER-3

KALMAN-FILTERING HISTORY & THEORY

3.1 INTRODUCTION [21]

About

45 years back, Wiener's published a paper on

"Extrapolation, Interpolations and smoothing of stationery time

series 'With Engineering Applications'.
brought

statistical

point

of

view

This work of Wiener

into

communication

and

control theory.
The subject of estimation is a vast one.

Least

square estimation theory was used extensively in the past, it

not only provides useful solutions to the

certain specific

problems, but it also has connection to and implications for a

surprisingly large number of other problems, both statistical
and deterministic .
From the ancient times, people have been concerned
with

interpreting

prediction.
series

for

estimation

observations

and

making

estimates

and

Babylonion's used a rudimentary form of Fourier

such
in

purposes.

which

attempts

Also

beginning

were

made

at

of

theory

of

minimisation

of

various functions of errors can apparently be attributed to

Galileo Galilei ( 1632).
came from

Thereafter, a series of illustrations

investigators like Roger Cota, Euler, Langrange,

Laplace, Bernoulli and others .

This method of least square

was

first

used

by

Gauss

in

1795,

published by Legendre in 1805.

however,

it

was

first

Adrain in America unaware of

these

developments,

independently

developed

this

method

in

1808.

From thereon, a vast literature was published on various

aspects of least square methods. First studies of Least Square

estimation

of

stochastic

Krein and Wiener.

processes

was

made

by

Kolmogorov,

Kolmogorov gave a comprehensive treatment of

the prediction problem for discrete time stationery processes.

Krein extended these results to continuous time with the help
of blinear transformation.

No attention was, however, paid to

explicit formula for the optimum predictor itself.

Necessity

of the formulas in anti-air craft fire control problems lead

Wiener to formulate independently the continuous time linear
predictor problem and derive an explicit formula for optimum
predictor.

He also considered the filtering problems with

additive noise.

Before we switch over to the Kalman Filtering

,let us have a brief overview of the Estimation

of waveforms.

3.2 ESTIMATION
Estimation
assorted

types.

We

problems,

even

can

prediction

have

linear

ones

or

are

of

filtering

or

smoothing problems in state variable form or transfer function

form with additive white noise or coloured, noise.
We are given two related stochastic processes Y(t)
and Z(t). We are to estimate various parameters of the first
process (signal) in terms of certain values Z() of the second

44
process.

We assume that Y(t) and Z(t) have zero mean.

We

shall refer the quantity to be estimated as g(t) e.g.

g(t) = y(t) or Y(t) or y(t + )

(3.1)

The estimation is to be based on the values of Z(t)

at certain instants t = forming a set I on the time axis. If
g(t) = y(t+) with > 0 ,we have the prediction problem ,if
g(t) = y(t) ,we have filtering problem and if the observation
interval is [t0,tf] and we are required to estimate y(t) for any
t

t0,tf],

interpolation.

the
Of

problem

is

particular

one

of

interest

the
is

smoothing
the

fixed

or
lag

smoothing problem where we are required to estimate y(t+) for

< 0 based on observation over the interval [to,tf]
Estimation error is defined as
g~(t) = g(t) - g(t)

(3.2)

The risk is
C= _

g(t) - g(t)
2

(3.3)

3.2.1 ESTIMATION OF STATIONARY PROCESSES [22]

[WIENER FILTER]
We

now

consider

the

problem

of

estimating

stochastic process g(t) based on the observation of a related

process Z(t) by a linear combination of known values.

z( ) : t0 _ _ t f

(3.4)

45
of Z(t) , so that the observation interval consists of the
closed interval [to,tf].
z(t) have zero mean .

We assume that the processes g(t) and

We write for our estimate

g(t) =

)z( i )
i=1

tf

= t0 h(t, )z( )d

lim

H(t,
0

(3.5)

The weights h(t,) associated with these variables are

to be chosen so as to minimise the mean square error . From the
orthogonality principle, it follows that these weights have to
be chosen such that the error in the estimte is orthogonal to
the data;
i.e.

lim N

g(t)
h(t, )z( ) z( = 0, t 0 < < t f

0 i=1

(3.6)

Interms of integral the equation is

_ g(t) - tt0f h(t, )z( )d z( ) = 0

(3.7)

In terms of correlation function eqn (3.7) can be written as:

gz (t, ) = tt h(t, ) z ( , )d
f

This equation is termed as Wiener Hopf Equation.

observations are additive of noise

(3.8)

In case the

and Z(t) is a white noise

process so that z() = () ,the

equation that optimum filter satisfies reduces to

46
t
gz (t - ) = - h(t - ) ( - )d = h(t - )

for - < _t

(3.9)

its discrete analogue is

gz =

(j - l)
j= -

l [- , k]

h(k - j)

(3.10)

In terms of transfer function it reduces to

H(s)= gz (s)

(3.11)

When the observation z(t) is not white we can whiten

this observation through a whitening filter Hw(s). The input to
the optimum filter is now whitened observation (t) and the
filter is designed so that its output is the desired mean
square error estimate _(t). This is illustrated in fig.3.1 .
In the scalar case the the overall filter will be obtained as
H(s)= H w (s) H 2 (s) =

1 gz (s)

(s) -z (s) +
+
z

(3.12)

If we consider the vector process , the overall filter obtained

as cascade of HW(s) and H2(s) is

(s)

H(s)= gz (s) -z (s)

-1

-1

(3.13)

3.2.2 WIENER FILTER-CONSTRAINTS

Though Wiener gave most significant result of the

47
period, but there were reasons for being dissatisfied [21].
i)They were rather complicated, often requiring the solution of
auxiliary

differential

and

algebraic

equation

and

calculation of roots of polynomials.

ii)They

were

not

easily

updated

with

increases

in

the

observation interval.
iii)They could not be conveniently adopted to the vector case
(>1)
iv)Moreover the Wiener filter and its extension was limited
inherently

to

expressed

linear

in

terms

systems
of

because

transfer

the

results

function

or

were

impulse

repsonse- concepts that are meaningful only in the context

of linear system.
extending these
These
the

late

There is no reasonable method for

results to non-linear systems [22].

difficulties came immediately to the fore in

fifties

in

the

problem

of

determining

satellite

orbits, where there were generally vector observations of some

combination of position and velocity, and also there were large
amounts of data sequentially accumulated with each pass over a
tracking station.
first

to

tackle

Swerling (1958,1959,1971) was one of the

this

problem

and

he

predicted

some

useful

recursive algorithms that were soon recognised and applied,

especially

by

group

at

the

Bell

various contribution of their own.

state

space

ideas

in

Laboratories,

who

added

Kalman influenced by the

deterministic

problems

developed

48
somewhat

more

restricted

algorithms

than

Swerling

which

seemed matched to the dynamical state-estimation problems that

were brought forward by the advent of the space age.

Groups at

the NASA aims laboratory, and at the MIT Draper Laboratories

converted Kalman's ideas into computer - software that were
successfully used in many space applications
3.2.3 ESTIMATION OF NON-STATIONARY PROCESSES
[KALMAN FILTERS]
Advent of Wiener filter, helped in the prediction,
separation or detection of a random signal.

But there were

some practical implications associated with this solution of

Wiener problem [23]:
-the optimal filter is specified by its impulse response.
is not

It

simple task to synthesize the filter from such

data.
-Numerical determination of the optimal impulse response is
often

quite

computation.

involved
The

and

poorly

situation

gets

suited
rapidly

to

machine

worse

with

increasing complexity of the problem.

-Important

generalisations

non-stationery
frequently

(e.g.

prediction
of

growing-memory

require

considered

new

difficulty

filters,

derivations,
to

the

non-specialists.
-the

mathematics

of

the

derivation

are

not

transparent.

Fundamental assumptions and their consequences tend to be

49
obscured.
Kalman [24] changed the conventional formulation of
the problem.

He thought that rather than to attack the Wiener-

Hopf- Integral equation directly, it is better to convert it

into a non-linear differential equation, whose solution yields
the Covariance Matrix of the minimum filtering error, which in
turn contains all necessary information for the design of the
optimal filter.

Kalman not only gave the covariance of the

signal process but a sufficiently accurate model of the message

process of a dynamical linear system (possibly time varying)
excited by white noise.

He assumed that long observed signal

contains an additive white noise component and signal process

can be described as;
z(t) = y(t) + v(t)

(3.14)

where z(t),y(t) and v(t) are m x 1 vectors and covariance of

v(t) is given as;
_ {v(t)vT (s)} = V v (t) (t - s)

(3.15)

where Vv(t) is now an m xm matrix.

Now considering the Wiener integral equation (Eqn.(3.8)) for
the estimation problem

gz (t, ) = tt H(t, ) z ( , )d ,
f

t 0 __ t f

(3.16)

The solution to this equation is straight forward if z(.) is a

white process.

In case it is not so z(t) can be decomposed

50
into two components ,one of which is white and has zero mean.
In this particular case also we ,may decompose z(t) into two
components , one of which can be determined from the past
values of z(.) and the other white process (t) containing the
new information in z(t).

The process (t) is referred to as

"innovation

is

process"

and

due

to

kailath

The

idea

underlying the term is that the new information used to update

the

estimate

process

of

the
The

state
term

is

contained

residual

is

in

also

the

innovation

appropriate

as

suggesting that something left over when estimated value does

not match the actual value and the Kalman filter operates as a
feedback system to reduce the left over to zero.
Thus

in

terms

of

the

innovation

the

estimate

_(t)

can

be

obtained completely in terms of (t) as

g(t) = tt0f H(t, ) ( )d

Where by the principle of orthogonality

(3.17)

,the matrix H(t,)

satisfies

g(t) -

tf
t0

H(t, ) ( )d T = 0

, t 0 __ t f

(3.18)

or
_ {g(t) T ( )} = Tt0 f H(t, )_{ ( ) T ( )}d
, t 0 __ t f

(3.19)

51
Let the covariance matrix of (t) be given as
Cov (t) = _ { (t)T ( )}+V v (t) (t - )

(3.20)

Using the Eqns.3.18 to 3.20, we obtain the Eqn.( 3.17) as

g(t) = Tt0 f _ {g(t)T ( )}V v ( )( )d

(3.21)

In order to derive a differential equation for the

estimate from Eqn.(3.21) let consider specific model for the
linear system.

It is assumed that its output y(t) is driven by

white noise

X(t) = A(t)x(t) + B(t)W(t)

Y(t) = C(t)x(t)

(3.22)

where w(t) is zero mean white noise with covariance

_ {w(t) wT (t)} = V w (t) (t - s)

(3.23)

and is un-correlated with the observation noise v(t).

Also

Kalman

This

assumed

assumption

is

that

xo

and

physically

w(.)

are

reasonable

uncorrelated
and

has

important

consequence that the process X(.) is now wide sense stationary

Markov Process.The initial variance of the state are assumed
known

_ {x( t0 )} = x ( t0 ) and cov x( t0 ) = V x ( t0 )

(3.24)

x(t) is the state vector to be estimated and g(t) =x(t) , we

52
restrict the discussion to filtered estimate.
From Eqn.(3.21) for tf = t , we have
X(t/t) = Tt0 f _{x(t)T ( )}V v-1 (t)( )d

On

differentiating

both

sides

and

using

(3.25)

the

signal

model

described by Eqn.(3.22), we get

d
x(t/t) = A(t) x(t/t) + K(t)(t)
dt

(3.26)

K(t) = V x (t/t) CT (t)V v-1 (t)and

(t) = Y(t) - Y(t) = Y(t) - Cx(t/t)

(3.27)

where

K(t) = Kalman Gain

The variance equation

obtained by subtracting Eqn.(3.26) from

Eqn.(3.22a) and taking the expectation is given by;

T
V x (t/t) = A(t) V x (t/t) +V x (t) A (t)
+ B(t) V w (t) BT (t)

(3.28)

-1

- V x (t/t) C T (t)V v C(t)V x (t/t)

This non-linear equation is a Matrix version of the
familiar Riccati equation, first introduced by Francesco Count
Riccati,

in

1724

and

calculus

of

variation.

since

system has advantage.

initial

condition,

digital

or

analog

Non

then

often

linear

encountered

equation

in

in

the

the

linear

The non-linear equation with known

are

comparatively

computer

because

easy

they

to

solve

involve

iteration of relatively simple updating operation.

only

on

the

53
3.3

HISTORY OF KALMAN FILTER [21]

The

basic

traceable to Gauss

idea
.

of

least-square

estimation

is

Gauss was forced to invent then do

handle the vast calculations he undertook

to help astronomer

locate the asteroid ceres( however, the use of statistical

methods in control and communication system is largely due to
the work of Nobert Wiener).

He dealt with discrete-time model,

where the state Xi was constant i.e. and were zero.

Given

hindsight one can generalise this work do handle dynamics and

e.g. Rosenbrock has done some credible jobs in it.

Whittle in

1963, pointed out that the classical Wiener filter could be

rewirtten in a recursive form as a differential equation and he
studied some non stationery extensions.
However, the general case [ ]was first studied by
Kalman who combined state-space descriptions and the notion of
discrete-time
solution.

innovations

to

give

complete

and

Reference to this end may be found in

"Stochastic

process"

by

Doob,

Wiley(1953).

The

elegant
the Book
solution

introduced non-linear recurrence equation which was discrete

time counterpart of a Riccati differential equation Kalman had
already

encountered

in

problems

in

control.

optimal

studies

on

Thus,

quadratic
it

paved

minimisation
the

way

for

getting the continuous analog of the discrete- time equation

for the least squares estimate; especially since Kalman also
recognized

"duality"

between

the

filtering

and

control

54
problems,

Kalman

also

established

that

under

steady-state

behaviour Riccati equation conveys to a unique-steady state

solution

if

the

conditions

"Controllability" are satisfied .

not

arise

in

the

classical

of

"observability"

and

This stability question did

Weiner

problem,

which

roughly

speaking, correspond to a Kalman, filter problem with the (.)

matrix constant and stable in the state space signal model.
Therefore, the signal variance goes to a steady- state value
and so does the variance of the error.

It is a striking fact

that error variance goes to a finite steady state value under

the structral conditions of controllability and observability
even if is unstable, so that the signal variance becomes
unbounded.
In view of these facts it seems fair to use the name
Kalman filter for the continuous time algorithm as well as for
its discrete time analog.
also

called

Kalman

The continuous time filter is often

Bucy

or

Bucy-Kalman

filter.

Bucy

Coauthorship in Kalman and Bucy grew out of some early work by

Carlton and Follin (1956) and Hanson (1957) at the Applied
Physics

Laboratory

of

Johns

Hopkins

University,

in

which

algorithm of the Kalman type were obtained for some special

cases.

Kalman's discovery of the general continuous, time

formulas was apparently independent of this, being based on

this

analogies

of

optimal

control

(1960).

Later

Kalman

obtained a direct derivation by applying and linking argument

55
to the discrete time formulas .

Bucy's important contribution

to the joint paper (1961) was a derivation using

Wiener

Hopf

equation.

However,

Seigert

finite time

in

1953-55

had

already shown in a different context that finite-time.

Wiener-

Hopf

Riccati

equation

could

be

solved

by

reduction

to

differential equation.
It

is also widely known that independently of all,

Stratonovich in the USSR had begun to study recursive solution

for non-linear least squares estimates of the states of a nonlinear dynamical system driven by white-noise.
question

of

linearised

problem

arose

and

Naturally the
in

doing

so

Stratonovich in 1960 also obtained the Kalman filter equations.

However, no stability analysis was undertaken.
Recursive formulas given by Swerling in 1958 can
also be used for
filter.
special

non-dynamical systems to obtain the Kalman

However, Swerling did not explicity consider this

case

nor

did

he

anywhere

have

Riccati

equation.

Swerling gave very useful and interesting ideas for linear and
non-

linear

filtering,

1958,1959,1971

many

of

through
which

his
have

papers
been

published

widely

during

overlooked.

However, Doob (1944) made explicit and effective use of linear

state variable models to study processes with rational spectral
density.

The formulas and results given in this paper were

rediscovered much later in the State Space literature.

56
....

CHAPTER-4

PARAMETER ESTIMATION FOR CONTINUOUS SYSTEM

4.1 INTRODUCTION [25,8]

Before 1960, most models of dynamic systems required
for automatic control were usually formulated as continuoustime-differential-equation and system analysis was achieved by
making

transient

reference
response

to
data

either

frequency

obtained

response

during

planned

data

or

experiments

using simple special input stimuli such as unit step or impulse

excitation.

However, it was only with the advent of powerful

electronic

computers

identification
Indeed

the

and

most

that

the

parameter

important

field

of

estimation

development

dynamic

was

in

system

revolutionised.

the

field

can

be

traced back to parallel developments in electronic computers.

Availability

of

computers

meant

that

it

made

sense

to

'go

completely digital'; to not only compute digitally but also to

model

in

discrete

time

terms

so

that

the

mathematical

characterization of the system matched the serial processing

nature of the digital computer.

Thus, the research of note

during this period was the estimation of parameters in discrete

time models based on sampled data

(revision by Balakrishanan

and Peterka,1969; Astrm and Eykhoff,1971; Eykhoff1974; Kashyap

and

Rao,1976;

and

Goodwin

and

Payne,1977)

Ljung

Sderstrm(1983), Sderstrm and Stica (1989).

and

Contrary to

this the problem of continuous time model identification (CMI)

using

digital

Seemingly,

computers

has

not

obtained

the

same

status.

because rapid development of parameter estimation

procedures for discrete time models (DMI) has tended to obscure

parallel

developments

in

continous

time

model

estimation,

despite the fact that much conceptual control system analysis

is still in terms of continuous time differential equations.
The Block diagram (Fig.4.1) shows the stages of developments in
the continuous time model identification.
In the recent years, the relevance and importance of
the CMI problems has increasingly been recognized in the areas
of

identification

(Young,1981).
comprehensive

and

self

Unbehauen
review

of

tuning

and
the

Rao
recent

adaptive

Control

(1987,1988)

gave

developments

in

identification of continuous time systems.

a
the

Among the existing

estimation methods for continuous time models, there is an

indirect
which

approach

has

the

via

discrete

advantage

of

time

using

model

the

identification

parameter

estimation

methods for discrete time models, but it requires extensive

computation and is in part not straight forward, so that it is
hardly

feasbile

(Isermann,1984).

for
In

on-line
contrast

to

real-time
the

applications

indirect

approach,

Block-Pulse function (BPF), numerical integration has attracted

59
more

attention

initial

in

conditions

recent
arises

years.
with

However,
the

the

problem

of

integration.

Initial

conditions of the system are neither known nor zero.

They have

to be identified together with the system parameters.

However,

estimation of the initial states gave rise to some problems and

makes it difficult to apply the parameter estimations to online
real time identification (Sagara and Zhao,1988; Whittfield and
Messali,1987).

Sagara and Zhao (1988) developed a new kind of

integral operation based on numercial integration called Linear

Integral Filter (LIF) for handling derivative terms.

LIF is an

operation of numerical integration using general integrating

rules,

the

present

method

may

include

some

numerical

integration approaches where a specified integrating rule e.g.

Simpson's rule is used (Chao et al,1987).

The method of Sagara

and Zhao can also be extended to estimate the parameters of

time-varying or distributed parameter system.
4.2 CONTINUOUS TIME MODEL [25]
Consider

the

non-linear

state

space

(SS)

representation of the model as

SYSTEM EQUATION
x
= x(t), u(t), (t), w(t)
t

(4.1)

y(t) = x(t), u(t), v(t)

(4.2)

OBSERVATION EQUATION

Where

x(t)

is

an

dimensional

vector

of

state

variables

60
characterising the system dynamics behaviour;

u(t)

is an

dimensional vector of input or 'exogenous' variable which will

normally

be

dimensional

assumed
vector

to
of

be

measured

unmeasurable

exactly;w(t)
input

is

an

disturbances

'l'
that

affect the system; y(t) is a 'p' dimensional vector of obscured

outputs of the system; and v(t) is a q dimensional vector of
output disturbances or measurement noise.

The vector functions

_ and are normally non-linear and time variable; assumption

which reflect the idea that system will in general, be both
dynamically non-linear and non-stationary.
vector

is

nominally

non-stationarity,
constant

or

but

slowly

time

its

variable

elements

varying

The 'r' dimensional

(when

may

to

reflect

often

compared

with

be

the

assumed

the

state

variables) for analytical purposes.

The estimation problem posed by Eqns.(4.1) &(4.2) is
to deduce an estimate^

of the unknown parameter vector ''

from the observation y(t) and u(t), which may be measured in

continous or discrete time.

This is quite a difficult problem

even in this deterministic case (i.e. w(t),v(t) = 0t) and it

is not surprising, therefore, that much of research over the
last thirty years has been concerned with the simpler' small
perturbation'

linear

approximation

to

Eqns.(4.1)&

(4.2).

Consider 'the SS linear(ised) Model (I)

d

x(t) = (t)x(t) + (t)u(t) + w(t)

dt

y(t) = C(t)x(t) + v(t)

(4.3)

61

where

(t),(t)

are

suitably

dimensional

matrices

whose

(possibly variable) elements constitute the unknown parameters

in , while C(t) is a (usually known) matrix which relates y(t)
to the state vector x(t).

The stochastic inputs w(t) and v(t)

are 'zero mean, white noise', vectors independent of U(t) with

covariance (Spectral Density) matrix Q and R respectively.
Second linear representation (II) is the
space(OS),

polynomialmatrix

description(PMD)

of

observation
the

general

form,

A(s).x(t) = B(s).u(t)

y(t) = x(t) + (t)

(4.4)

y(t) = G(s).u(t)+ (t)

(4.5)

or

Where G(s)=A-1(s).B(s) is the multivariable transfer

function, while A(s) and B(s) are appropriately dimensioned
matrices in the time derivative operator S=d/dt and y(t) is the
hypothetical 'noise free output' of the system.
A(s) and B(s) are defined as

A(s) = I S n + A1 S n-1 + ....+ An

B(s) = B1n-1 + ....+ Bn

Where

Ai,

Bi,

i=1,2,.......n

(4.6)

are

propriately

dimensioned matrices of real co- efficients some of which may

62
be null.
(t)

is

'p

'dimensional

vector

disturbances w(t) and v(t) respectively.

of

stochastic

Although the nature

of this disturbance vector is not necessarily specified, it is

often considered to have rational spectral density and so to be
described by the following autoregressive-moving average (ARMA)
model:

C(s). (t) = D(s).e(t)

(t) = G N (s).e(t)
where

GN(s)

C-1

(s).D(s)

is

the

(4.7)

noise

transfer

function

defined by approprately dismensional polynominal matrices. C(s)

and D(s); and e(t) is a zero mean, serially uncorrelated, white
noise vector with covariance matrix Q.

If we combine the

Eqns.(4.5) and (4.7) we obtain the PMD as

y(t) = A-1 (s)B(s)u(t) + C -1 (s)D(s)e(t)

= G(s)u(t)+ G N (s)e(t)

there

are

other

AUTOREGRESSIVE

forms

MOVING

of

representation

AVERAGE

EXOGENEOUS

(4.8)

of

models

such

(ARMAX,defined

as

with

C(s) = A(s) in eqn.(4.8) & DYNAMIC ADJUSTMENT(DA,defined with

D(s) =1 and C(s) = A(s).F(s) where F(s) is matrix polynomial).
On transforming eqn.(4.3) into operator notation we obtain a
representation such as eqn.(4.8) with

G(s)= (s I - )-1 and

-1
(t) = (s I - ) w(t) + v(t)

(4.9)

63
Alternately, we can consider the special 'innovation' or Kalman
Filter
i.e.

dX(t)
= (t)x(t) + (t)u(t) + K(t) (t)

dt

y(t) = C(t)x(t) + v(t)

(4.10)

where (t) is the stochastic innovation vector.

4.3

CLASSIFICATION OF ESTIMATION METHODS

There are different but related conceptual bases for

continuous time system parameter estimation these are briefly

discussed below [ ] :
4.3.1)

Output error (OE) methods:

This is the most intuitively obvious approach to the

problem of system parameter estimation.

Here parameters are

chosen so that they minimise either an instantaneous (in the

purely deterministic case (t) = 0 ) or an integral (in the
stochastic case) norm in the error between the model output,
denoted by y^ and the observed output y,

(t) = y(t) - y(t)

(t) = y(t) -

B
u(t)
A

(4.11)

Fig.4.2 where B^ and A^ are estimates of polynominal B(s) and

A(s).
4.3.2) Equation error (EE) Methods
Here

64

(t) = A y(t) - B u(t)

(4.12)

This implies the integration of y(t) and u(t).

avoid

it

the

differentiation

of

possibly

In order to
noisy

signal

"generalised equation error" which uses state variable filter

to filter the signal and simultaneous to provide filtered time
derviative (Fig.4.3)

method may be used.

4.3.3) Prediction Error (PE) Method

Here the error function is normally defined as

(t) = y(t) - y(t)

(4.13)

But now _(t) => _(t/) is defined as some

given

the

current

estimates

of

the

prediction of y(t)

parameter

characterised the system and the noise models.

which

In other words

_(t/)is the conditional mean of y(t) given all current and

past information on the system; while (t) as in the Kalman
filter state space representation is the innovation process.

(t) =

C
B
y(t) - u(t)

D
A

(4.14)

The Other possible arrangements of PE within an EE context is

given as shown in Fig. 4.4 & 4.5.
4.3.4) Maximum likehood (ML) methods
ML approach is based on the definition of an error
function of the PE type, but the formulation is restricted by
the additional assumption that the stochastic disturbances to
the system have specified amplitude probability distribution

66
functions.

In deed in most applications, the assumption is

restricted further for analytical tractability to the case of a

Gaussian

distribution

which

results

in

ML

formulation

the

probability

coinciding with certain PE formulations.

4.3.5. Bayesian Methods
When

prior

information

on

distribution is included in the ML method, it is termed as

Bayesian
present

approach.
context

Bayesian

because

concept

most

is

important

in

methods

can

recurrsive

the
be

interpreted at least in spirit as being of Bayesian type.

4.4

STOCHASTIC OUTPUT ERROR APPROACH

This

dissertation

concentrates

on

Extended

Kalman

filter approach for simultaneous parameter and state estimation

- which is one particular extension of OE estimation method in
Vector observation case.
As we will be seen in the following sections the
basic idea of the EKF approach is to extend the state vector x
by adjoining the vector of unknown parameter .

The Kalman

filter - which gives the minimum variance estimate or the state

estimation algorithm is then applied to the augmented system of
non-linear states equations.

These are a number of different

methods for solving this non-linear estimation problem.

all

involve

estimates

to

some
allow

form
for

of
the

linearisation
definition

approximate covariance matrix equations.

about

and

the

solution

They

current
of

the

Ljung (1979)[ ] has

68
shown that Discrete EKF is an approximate PE algorithom.
Model
In order to obtain the continuous time model for
EKF, we have simply augmented the state vector with unknown
parameter "" and have applied
time

algorithm of linear continuous

Kalman filter algorithom for state estimation considering

the model
x(t)

= (x,u(t), ,t) + w(t)

t

y(t) = (x, , w(t), t) + v(t)

4.5

(4.15)

LINEARISATION [27]
The

idea

of

approximate

solution

of

non-linear

filtering problems by applying the linear filtering theory to a

linearized system is quite natural.

The linearization by the

Taylor formula retaining only linear terms is the simplest one.

But the question is , in the vicinity of what function to
linearize the equation ? It is clear that there is no unique
reply to this question .

However, linearization

relative to state vector 'x'

of equations

in the viccinity of its estimate

seems to be the best and generally adopted one.

The process of

linearization is described as below :

Consider the non-linear system

X(t) = (x,u, w, ,t)

y = g (x, v,t)

(4.16)

69
The purpose of studying the solution of model (Eqn.(4.16)) is
to understand the motion of the physical system; and when we
ignore modelling error, we assign a one-to-one correspondance
to these two concepts; generally, infinitely many solutions
exist, one for each set of initial conditions.

Hence, we must

focus on the particular solution x(t) of interest.

that a Taylor's series expansion about^
x

We know

of any differentiable

scaler function (x,t)of the x is

1
f
(x,t) = f( x ,t) + (x - x ) + (x - x )T
2
x x= x
T

2 f
2
t

(x - x ) + H
x= x

(4.17

H contains all higher times (which do not admit to convenient

matrix notation).
Let x(t), be the solution of interest. Hence by definition of
a solution X(t),(t) must satisfy
X = ( x , , t), y = g( x , , t)

Taylor

series

expansion

of

solution x(t),(t) is developed as follow.

(4.18)
f(x,,t)

about

the

We let (xT,T) play

the role of xT

x = x
f T f T

X = ( x , ,t) +

+
x x= x =
=

1 (x - x ) ...( - ) F 1

2 (x - x )T ...( - ) F n x= x

+H

(4.19)

70

C( t )=

g
x

x ,

(4.20)

= y- y
y
Some compactness in notation is achieved

2 f i
2
x
Fi =
2 f
i

by defining

2
fi
x

2
f i

2 x ,

(4.21)

f T f T
(t) = ,
x x ,

(4.21)

Thus the eqn.(4.18) can be written as;

(( xxTT ,,TT ))G

F11

.
11
x + h

X(t)=
=C(t).
Z(t). (t)
(t)+
+
y(t)

.
22
TT TT
((xx ,, ))G
Fnn
(t) = x, T

(4.24)
(4.23)

where Gi is similar in form to Eqn.(4.20) with Fi replaced with

Gi.

Z & C are time varying if x, are time varying, and are

constant if x, , are constant.

the

linearised

function in

model

is

to

The easiest way to construct

expand

each

non-linear

a Taylor's series (including all lthe

terms in Eqns.(4.19) to (4.24)

scalar

required

and leave alone the terms that

71
are already linear.
The

brute

application

of

recipes

(Eqn.(4.19)

to

(4.24)) will yield correct answers with a lot of unnecessary

derivative calculations:
Now suppose that the matrices

2 f i
2 f i
2 and 2
x x ,
x ,

(4.25)

are zero for i= 1,...... n. For this special case of nonlinear system ,the first three terms in the Taylor's series
expansion Eqn.(4.23) & (4.24) give

TT N
(t)
1
NiiN

. . .
22 gg2i fi
.

x(t)
y(t)
=
C(t).
(t)
=i = i
NiiN
y(t)=
=Z(t).
C(t).(t)
(t)++
+ . . x,xx,N
=

xx
x xx,,
TT. .
NNk (t)
TN
N k

(4.26)
(4.27)

Such system are called bilinear system and have been studied
extensively in the literature.
The

non-linear

system

Eqn.(4.18)

has

unique

solution, x(t), (t), passing through x(o), (o)

if (x,,t) is continuous and satisfies a Lipschitz condition.

( x1 , 1 ,t) - ( x2 , 2 ,t) _

x1 - x2
1 - 2

(4.28)

for some constant .

Linearised eqns. (4.26)& (4.27) have meaning only if
the higher order terms in (x-x), (-) are smaller than this

72
linear terms.

Otherwise, the higher order terms h in the

Taylor's series expansion would dominate the system behaviour.

The

means

that

remains close tox

the

linearization

is

only

valid

when

x(t)

in the sense that

h(x, ,t)
x _0
= 0
x

Lt

(4.29)

Hence for the linearisation to make sense, the trajectory x(t)

about which the Taylor's series is expanded must be a solution
of the non-linear system(eqn.(4.18)).
4.6 LINEARISED KALMAN FILTER [22]
The first attempt to extend the Kalman Linear
filtering

to

non-linear

systems

were

based

on

the

linearization of Eqns. (4.1) & (4.2). Two of the approaches to

convert equations

into linear ones appear the best ;

-The first approach is linearising the equations

the state vector x in the vicinity of

relative to

x.This way leads to

the so-called extended Kalman Filter.

_The second approach

is based on statistical linearization of

equations.
In both the cases the order of the filter is p(p+3)/2
instead of in the case of linear equations .

This is due to

the fact that the equation for Vx i.e. error variance depends on
the results of observation in these cases in consequence of
which this equation cannot be integrated separately beforehand

73
and must be integrated together with the equation for .
Let

extend the Kalman Filter algorithum for non-

linear state- space model.

MESSAGE MODEL

X(t) = (x(t), t) + g(x(t), t)w(t)

y(t) = h(x(t), t)

(4.30)

Z(t) = y(t) + v(t), for t_ t 0

(4.31)

OBSERVATION MODEL

Linearisation will yield the following equation

for state

estimator and its covariance matrix ;

T
( xn(t),
t) -1
h t)( xnx(t),
K(t)
x(t/t)
(t/t) +VK(t)
==
V x (t/t)
v (t)

x n (t) xn (t)

h( xn (t), t)
z(t) - (t) x(t)
xn

(4.33)
(4.32)

and

V x (t/t) =
+V x

( x n (t), t)
V x (t)
xn (t)

T ( x n (t), t)
+
xn (t)

(4

h ( x n (t), t) -1 h( x n (t), t) T
Vv
V x
x n (t)
x n (t)
T

V x (t)

+ g( x n (t), t)V w (t) g T ( x n (t), t)

where

x(t/t) = x(t) - x(t/t)

and

(4.35)

.34)

74
~
~
V x (t/t) = cov [ x (t/t), x (t/t)]

(4.36)

These equations are known as the linearised Kalman

algorithms.

The estimate^
x (t/t) can be determined

as

x(t/t) = xn (t) +x(t/t)

4.7

(4.37)

EXTENDED KALMAN FILTER [13,22]

We

can

write

Eqns.(4.30a)and (4.32).

an

expression

for^
x

(t/t)

by

adding

We then have

x = x n + x(t/t)
( x n (t), t)
= ( x n (t), t) +
x(t/t) + K(t)
x n (t)

(4.38)

h( x n (t), t)
z(t) - y n (t) (t) x(t)
xn

By noting that

( xn (t),t)

(x(t/t), t) = ( xn (t), t) +
x(t/t)

(t)
X = x n (t) + x(t/t)xn

( x n (t), t)
= .( x n (t), t) +
x(t/t) + K(t)
x n (t)

h( x n (t), t)

z(t)
(t)

x
(t)
y
n

xn (t)

(4.38)

h( xn (t),t)
x(t/t)
xn (t)

(4.40

(4.39

and

h(x(t/t), t) = h( xn (t),t) +
Thus Eqn.(4.38) can be written as

d
x(t/t) = (x(t), t) + K(t)Z(t) - h(x(t/t)
dt

(4.41)

75
Since
~
X(t/t) = x(t) - x(t/t) = [ xn (t) + x(t)]
- [ xn (t) + x(t/t)]
= x(t/t)

(4.42)

The gain and variance equations can be written as

hT (x(t/t), t) -1
K(t) = V x (t/t)
V v (t)
x(t/t)

(4.43)

and

V x (t/t) =
+V x

(x(t), t)
V x (t)
x(t)

T (x(t), t)
+
x(t)

(4.4

h (x(t), t) -1 h(x(t), t) T
Vv
Vx
x(t)
x(t)
T

V x (t)

+ g(x(t), t)V w (t) g T (x(t), t)

where we have used the fact that to first order

( xn (t), t) (x(t/t), t)
=
xn (t)
x(t/t)

(4.45)

h(x(t/t), t)
x(t/t)

(4.46)

and similarly for

Eqns.(4.41) to (4.46) constitute a complete set of approximate

algorithm for evaluating the estimate x(t/t).

These algorithms

are known as the Extended Kalman algorithms.

4.8 ESTIMATION OF UNKNOWN PARAMETERS OF A SYSTEM [12]
In

some

cases

the

differential

equations

of

the

4)

76
model of a studied system may contain unknown parameters whose
values can be known only approximately.
equations

of

motion

of

aircraft

So, for instance the

contain

the

aerodynamic

coefficients which are determined experimentally by means of

wind-tunnel

testing

of

the

aircraft.

Naturally

they

are

determined with some accuracy, and some of them are determined

with very low accuracy.

Therefore, the problem of estimation

of unknown parameters of a system ( more exactly of its model )

using the results of observations naturally arises.
Suppose that the functions

_ and

depend on the

finite set of unknown parameters which we shall consider as the

component of the vector .

The system can be represented as

X(t) = (x(t), , t) + (x(t), , t)

(4.47)

y(t) = h(x(t), , t)
Where

_(x,,t)

and

(x,,t)

functions of indicated arguments.

approach is generally used.

are

completely

known

In such cases the following

The unknown vector parameter is

considered as a random process

which

is

determined

by

differential

equation.

0.

Thus

extended state vector is obtained as =[xT,T]T

d x (x, ,t) (x, ,t)

=
+
dt 0 0

(4.48)

(t) = ( ,t) + ( ,t)

(4.49)

or

77
4.9 EXTENDED KALMAN FILTER AS PARAMETER ESTIMATOR [28,29,19]
The problem of parameter estimation of a stochastic
linear

dynamic

system

has

received

considerable

attention

because of its importance in model building and control theory.

Parameterr estimation

by Extended Kalman filter is viewed as

non-linear filtering problem.

parameter

estimation

These methods are

which

There are also other methods of

have

been

applied

successfully.

1) Maximum likelihood 2) Generated least

squares 3) Instrument variables 4) Extended least squares.

The extended Kalman filter approach for parameter
estimation of the linearised system consists of following two
steps:
1)The state vector is augmented with unknown parameters to be
estimated.
2)The

augmented

state

estimator

is

used

to

obtain

joint

estimates of both the original system state and the system

parameter.
The augmented system is non-linear.

To

make the

computation of the estimates feasible an approximate filter,

obtained by applying the linear Kalman

Algorithm to the

state

equation, is used.
The above EKF approach to parameter estimation has a
strong intuitive appeal and offers the possibility of using
standard

Kalman

filter

programmes

to

solve

the

parameter

estimation problems,however,it suffers from many disadvantages:

78
i)Computational

burden

of

estimating

the

augmented

state,

magnifield by the necessity for relinearisation of each

step

may

be

prohibitive.

Since

this

is

based

on

relinearisation about the current estimate,if the apriori

state estimates are poor, or if later estimates should
take filter out of the linear region, the estimates often
diverge.

Further

applicability
performance

of
of

more

the
this

the

condition

solution
method

has

are

required

quite

not

been

vague

for
and

completely

satisfactory.
ii)EKF approach has divergence associated with them unless the
filter is modified; the modification require additional
computing time.
Observability

is

covergence of the filter.

to estimate

the

necessary

condition

for

the

Several approaches have been adopted

the problem of divergence associated with EKF.

Schmidt and Neel (1967) proposed the addition of the terms to

the gain of the Kalman filter to prevent divergence. Except for
the work of Schaefer and Nahi(1972) the approach remains adhoc.
Thus the methods either require extended "tunning" or adds to
the computatiional burden,either of which has disadvantage in
practical

on

line

application.

Magill(1965)

Hilborn

and

Lainiotis(1969) considered the problem using decision Theory

and assuming the unknown

parameters come from a finite set

,however this requires the use of parallel

Kalman

filters,

79
which is totally impractical for many applicatiions.
Saridis

and

Stein(1968)

proposed

stochastic

approximation algorithm to estimate the parameters of single

input

single

output

systems.

Mehra(1971)

used

correlation

techniques for the single input single output terms

extended

the

problem

for

multivariable

case.

presented results for multivariable system

and also

Budin(1972)

but requires that

the convariance of the noises be known in order to obtain an

unbiased estimate of the parameters.
Practical experience with the extended Kalman filter
and

the

above

compututionally

observations
economical

motivated

and

robust

the

development

parameters

and

of

state

estimators.
Sinha and Nagraja in 1990 [30] presented a Continuous
Extended Kalman Filter algorithm.

The algorithm appeared to be

a continuous one ,but it involved sampling period T in

variance

equations.

An

algorithm

involving

its

can't

be

described as fully Continuous as it depends on sampling rate

and hence has resemblence of discretization.
term

it

as

continuous

analogue

of

the

However,

Discrete

if we

Model,

it

suffers from following disadvenatges:

1.A compromise between the selection of sampling period and
that of Integration time step is required so as to get the
algorithm convergence.
2.Most of the terms in the variance equations are superfluous

80
and

can be avoided.
A modification of this method is presented here.

It

has been observed that the modified algorithm give very high
accuracy of parameter and State Estimation without going in for
any modification of Gain Matrix

(weighting

function).

results were checked for various noise to signal level.

The
In all

the cases good convergence of parameters as well as states was

achieved.
4.9.1 PROBLEM FORMULATION
The

measured

input

and

output

data

u(0),z(0),u(1),z(1),....... is assumed to be obtained from the

system :

d
x(t) = A.x(t) + B.u(t) + w(t)
dt
Z(t) = C.x(t) + v(t)
where

u(t),z(t)

respecively .

and

x(t)

are

vectors

(4.50)

of

dimension

nu,nz,nx

The sequences { w(t)} and {v(t)} consist of

independent random vectors with zero mean and covariances.

_ (w(t). wT (s)) = V W t s
_ (v(t).vT (s)) = V V t s

(4.51)

_ (w(t). vT (s)) = V vw t s

Furthermore it is assumed that the initial state x(o) is a

random vector with zero mean and covariances Vxo .

It is

independent of future values of {w(t)} and {v(t)} for t 0.

All the matrices A, B , C , RW, RV,RVW are assumed to be time
invariant.

81
Let

us

consider

the

EKF

approach

to

estimate

the

unknown

parameter by extending it with the state vector

i.e. = [x , ]T
We then have the state equations as under [31]:
w(t)
d

(t) = ( (t), u(t)) +

dt
0

(4.52)

y(t) = h( (t)) + v(t)

where
A( ).x(t) + B( ).u(t)

( (t), u(t)) =

(4.53)

h( (t)) = C( ) (t) + v(t)

Where A(),B() & C() shows the dependence of these matrices

on unknown parameter .
By attacking this non-linear problem by EKF we obtain:
H T ( (t)).VT V -1
dd
[u(t))
P=
(t).
H(
P(t)
)|
P =
(((t),
P(t)
+N(t)[y(t)
(t),
u(t))
(t)
=N(t)
=(t))
(t),
u(t))
+h(
(t))]
(t)=-(
(t)h(

dtdt
(N(t).
=VV(0)
. N Tx(t)
t 0 ,) D(
C(
=+
(t),
(t))
V w-(t))

(4.55)
(4.54)
(4.57)
(4.56

, P(0) = Po
where
x(0)
0
0(,x,(t),
V wM(
x ( o )
u(t))
=(A( ,
,B(
u)|V(t))u)
u)
=
)x((o)
+
| =

= (t)
,

(0)
=
P
=

Vw=

0 V (0)

0 0
(0)
(t), x(t), u(t))
A(, x)) =M(
(C( )x)| =
= D(

0
0

(4.59)
(4.60)
(4.58)

where
The functions M(,^
x,u) is a [nx x n] matrix and D(,^
x
) is a [ny x n ]matrix.These functions are of course linear in

82
x and u and depend in an essential way on the parameterization.
and V(o) represent some apriori information about parameter
vector .

Common choices are =0 and V= 100 if no apriori

information is available.
Let define [32]

(t) =

0 u 0
T
and = [A B ]
X 0 u

(4.61)

so that

(t) = (t) + w(t)

t
y(t) = x(t) + (t)

(4.62)

By using Eqns.(4.54) to (4.62), the algorithm for estimation of

states and parameters is:
T
(t)(t)
d A
Tx(t)
(t)
+V
(t)xV
K(t)kx
-1V
Vv-=
KN(t)
+
(t)
kx
VVx=
x1x(t)
(t)

x = X
x+V A
xC
v+

(t)

[y(t)
(t)]
K
,
=
,
=
kx
K kx dtV x R K k V x R

(t)V vx-1(t) (t) K k

+ V
(t) V=x- -KVkx (t)
R Vx
d
V- xC x(t)]
(t) = kkV[y(t)
x
dt P(t) =

V x V

(4.66)
(4.65)
(4.67)
(4.63)
(4.64)

where
T
V x = _ {(x - x) (x - x ) }
T
V x = _ {(x - x) (x - x ) }
T
V = _ { - ) ( - ) }

(4.68)

It was assumed that VX and V are symmetrical and in

case they tend to be asymmetrical , symmetry was achieved by
modifying Vx and V as [33];

83
T

V x ( t i ) +V x ( t i )
2
T
V ( t i ) +V ( t i )
V =
2
Vx=

at every time instant 'i'.

(4.69)

It was also assumed that State

Vector x and Parameter vector are Random Gaussian distributed

processes.
4.10 SIMULATION:
With this algorithm , various numerical examples were
simulated on the computer as per the computer algorithm given
below.

Flow chart is shown in Fig. 4.6 .

Initialise x, x, ,V x ,V x ,V v ,V w ,V
Set S,T F , H

Generate Pseudo - random Numbers

Call Randu

Solve for Plant States

Call Runge

x i x i +1
while T Sdo
while T T F do
Solve Estimtor and Var. eqns.

Call Runge

x i x i +1 , i i +1 , V xi V xi+1

, V x i V x i+1 , V i V i+1

T = T+H

Output X,

84
2

d
X + 2 (1 - x 2 )x + x = 0
2
dt
X 1 = X 2
2
X 2 = 2 ( x2 - 1) x2 - x1
NUMERICAL PROBLEM 1
Consider the well known Rayleigh Equation [34]

which

is non-linear differential equation as given in the Box. If we

let = 1/4 and = -1/3 we have the equation as under :

X 1 = X 2
3
X 2 = -0.5 x2 - 0.166 x2 - x1
We can linearize these equations
to obtain a linearised model as under

1
0
0
X(t) =
X(t) + U(t) + w(t)
- 1 - 0.5
0

(4.70)

We consider the observation model as

y(t) = x(t) + v(t)

The initial conditions assumed are :

(4.71)

85

X(0) = X(0) = [2 0 ] T
(0) = (0) = 0
10 0
V x (0) =

0 10
V (0) = Diag 10 10 10 10 10 10
V x (0) = 0
0
0.25
Rv (0) =

0 0.25
0
0.01
Q w (0) =

0 0.01

In this simulation, the plant dynamics

were computed by using

the fourth order Runga-Kutta-Gill method , with the time step

of 0.05 second.

The EKF variance equations were also computed

by the same Runga-Kutta-Gill method with the time step of 0.05

seconds.

The states and paramters were obtained with the time

sampling of 1 second .
h
1
1

) k 2 + 2(1+
) k 3 + k 4
y i+1 = yi + k 1 + 2(1 6
2
2

k 1 = f( xi , y i )
1
1

k 2 = f xi + h, yi + h k 1
2
2

1
1
1 1

h k 1 + 1 h k 2
k 3 = f xi + h, yi + - +
2
2
2
2

1
1

h k 2 + 1+
h k 3
k 4 = f xi + h, yi 2
2

87
Random

Numbers

were

generated

for

simulating

noise in the system as per the algorithm given below.

the

For the

purpose of simulation both Uniformly Distributed and Gaussian

Distributed Random Numbers were generated [35].

i 1, j 1
Uniformly Distributed Numbers(0 to 1)

x i = seed

while i_2 do
xseed = ( + x i )2

seed = xseed - trunc(xseed)

whilej_n do
Gaussian Distributed Numbers

1
,
y j = 2. 2 . ln ( )

xj

Wi = yi . cos (2 x j+1)

W j+1 = yi . sin (2 x j+1)

The estiamted states and parameters are depicted in Table 4.1

and the corresponding graphs are shown in Fig. 4.7 .

In order

to check the suitability of the algorithm for various initial

states and Signal to Noise Ratio(SNR), simulation was done for
different initial states and SNR's &
Parameters

estimates of States and

are appended in Table 4.2 & 4.3 respectively.

88

TABLE 4.2
ESTIMATED

PARAMETERS FOR DIFFERENT INITIAL

CONDITIONS

[SNR=40]
FINAL

INITIAL

PARAMETERS

TIME
STATES
[8 0]T

30

[5 0]T

30

[4 0]T

30

[3 0]T

30

0.998

0.0102

1.0179

0.4911

0.0079

0.0044

0.996

0.0063

0.0255

0.9847

0.4781

0.0028

0.996

0.0337

0.9751

0.4721

0.0021

0.995

0.0480

0.9589

0.4633

0.0013

0.0077

0.0095

TABLE 4.3
ESTIAMTED PARAMETERS FOR DIFFERENT SIGNAL-TO-NOISE RATIO
INITIAL STATES[3 0]T
FINAL
TIME

SNR

PARAMETERS

91
1
30

30

30

30

40

20

10

0.990

0.0199

0.9769

0.4845

0.989

0.0201

0.9779

0.4842

0.992

0.0087

0.9920

0.4920

0.982

0.0679

0.9309

0.4621

6
0.0036

0.0059
0.0035
0.0009
0.0014
0.0004
0.0107
0.0016

NUMERICAL PROBLEM 2:[36,30]

Consider the Swing Equation of power system
M

2
2

= P a = Pi - Pu = 1 -
2
t

where
M= 0.01432 units power sec2 per elect radian
Formulation of the above swing equation in the State
Space Representation will be

0 1
0

X =
X
+

U + w(t)
- 44.4792 0
69.8324

(4.72)

92

Consider the Observation model as

(4.73)

Y(t) = x(t) + v(t)

This

problem

was

simulated

with

the

initial

conditions
(0) = 0
x(0) = x(0) = [2.5 0 ] T ,
V = diag 10000 10000 10000 10000 10000 10000
V x = diag[ 1 1 ],V x = 0
0
0
0.001
0.1
Vv=
,V w =

0 0.001

0 0.1

Estimates of the states and Parameters are depicted in Table

4.4 and the corresponding graphs are shown in Fig. 4.8.

Impact

of various initial states and SNR's is depicted in Table 4.5 &

4.6.
TABLE 4.5
ESTIMATED PARAMETERS FOR DIFFERENT INITIAL STATES
[SNR=1000]
FINAL

INITIAL

PARAMETERS

TIME
STATES

0.9

[1.29]T

-0.1123

0.9834

-43.8752

-0.0165

-0.1382

-69.7893

0.9

[2 0]T

-0.1635

1.0307

-44.2381

-0.0429

-0.2327

-69.4937

95
0.9

[2.5 0]T

-0.0797

1.0099

-44.4418

-0.0106

-0.1031

-69.7477

0.9

[2.5 0]T

-0.0293

1.0045

-44.4653

-0.0084

-0.0417

-69.8711

TABLE 4.6
ESTIAMATED PARAMETERS FOR DIFFERENT SIGNAL-TO-NOISE RATIO
INITIAL STATE [3 0]T
FINAL

SNR

PARAMETERS

TIME
[1]
0.9

0.9

100

[3]

[4]

[5]

[6]

69.074

1.008

0.0023

44.18

0.027

0.012

18

50
0.0012

0.9

[2]

5
0.0687

1.010

44.20

0.025

0.015

43

1.010

44.36

0.035

0.104

10

69.076
6

69.021
0

96

NUMERICAL PROBLEM NO.3 [9]

Consider the second order system

1
0
0
X =
x(t)
+

U(t)+ w(t), X(1) = 1, X(2) = 5

1
- 2.8 - 4

(4.74)

where U(t) = 5
Observation model was considered as
(4.75)

y(t) = x(t) + v(t)

Initial conditions assumed for simulation are

(0) = 0
x(0) = x(0) = [ 1 5 ] T ,

V = diag 100 100 100 100 100 100

V x = diag[ 4 4 ],V x = 0
0
0
0.25
0.1
Vv=
,V w =

0 0.25
0 0.1

Integration

time

step

was

taken

as

whereas the observation sampling time as 0.30 sec.

0.05

sec.

Estimated

States and Parameters are depicted in Table 4.7 and Fig.4.9 .

Table 4.8 and 4.9 show the results for various initial states
and SNR's respectively.

99
TABLE 4.8
ESTIMATED PARAMETERS FOR VARIOUS INITIAL STATES
[SNR=16]
FINAL

INITIAL

PARAMETERS

TIME
STATES
[2 5]T

[3 5]T

[4 5]T

[5 5]T

0.933

0.011

0.0338

2.918

4.126

0.919

0.013

0.0443

2.948

4.157

0.877

0.024

0.0777

3.010

4.250

0.727

0.064

0.1939

3.135

4.420

6
1.2313

1.2502

1.2754

1.3202

TABLE 4.9
ESTIMATED PARAMETERS FOR VARIOUS SIGNAL-TO NOISE RATIO
INITIAL STATE [1
FINAL

SNR

5]T
PARAMETERS

100
TIME
[1]
9

40

20

10

[2]

[3]

[4]

[5]

0.904

0.0549

2.933

4.221

0.020

[6]
1.2249

0.929

1.2161

0.0424

2.929

4.269

0.015

0.942

1.1302

0.0421

2.768

4.010

0.021

0.814

1.1914

0.1218

2.222

4.165

0.092

NUMERICAL PROBLEM 4 [34]

Consider the second order system described by the
differential equation
2
dX
dx
d X
+5
+ 6 = 0,
= 1, x = 0
2
dt
dt
dt

State-space representation of this equation will be

101

0 1
0
X =
x(t) + U(t) + w(t)
- 6 - 5
0

(4.76)

Observation model was considered as

(4.77)

y(t) = x(t) + v(t)

Initial conditions assumed for simulation are

(0) = 0
x(0) = x(0) = [ 0 1 ] T ,

V = diag 1000 1000 1000 1000 1000 1000

V x = diag[ 1 1 ],V x = 0
0
0
0.01
0.01
Vv=
,V w =

0 0.01
0 0.01

For

solving

the

differential

equations

of

the

algorithm by Runga-Kutta-Gill method of numerical integration

time step for integration H=0.025 second, observation sampling
time

0.075

sec.

Estimates

of

States

and

Parameters

acheived are depicted in Table 4.10 and Fig.4.10.Estimates of

States and Parameters achieved for various initial states and
SNR's are depicted in Table 4.11 & 4.12.

TABLE 4.11
ESTIMATED PARAMETERS WITH VARIOUS INITIAL STATES
SNR=40
FINAL
TIME

INITIAL

PARAMETERS

103
STATES
15

15

15

15

[0 2]T

[1 2]T

[2 2]T

[2 0]T

0.1465

1.052

5.946

5.292

0.004

1.046

6.027

4.883

0.005

1.039

5.955

4.540

0.004

0.991

5.883

4.534

0.005

0.0275

0.0100

0.0078

6
0.1060

0.1297

0.3060

0.4228

TABLE 4.12
ESTIMATED PARAMETERS FOR VARIOUS SIGNAL-TO-NOISE RATIOS
INITIAL STATE [0
FINAL

1]T

SNR

PARAMETERS

TIME

15

50

[1]

[2]

[3]

[4]

[5]

[6]

0.2583

0.839

5.657

4.898

0.038

0.0121

104
2.25

4.5

4.5

40

10

1.014

0.0133

5.306

4.495

0.000

0.905

0.1752

6.408

4.679

0.001

0.814

0.1218

2.222

4.165

0.092

0.0144

0.1848

0.1249

NUMERICAL PROBLEM 5 [37]

Consider

the

system

described

by

the

differential

equation
2
dx
dx
d X
+ 2 + 5x = 5,
= 0, x = -1
2
dt
dt
dt

State-Space representation of the system will be

1
0
0
X =
X(t) + U(t) + w(t)
- 5 - 2
5

(4.78)

Observation model was considered as

y(t) = x(t) + v(t)

(4.79)

105

INITIAL CONDITIONS
(0) = 0
x(0) = x(0) = [ - 1 0 ] T ,

V = diag 100 100 100 100 100 100

V x = diag[ 1 1 ],V x = 0
0
0
0.25
0.1
Vv=
,V w =

0 0.25
0 0.1

Time

step

for

integration

H=

0.05

Seconds,

Observation Sampling time ,S= 0.15.

Estimates of States and Parameters are depicted in
Table 4.13 and Fig 4.11.

Table 4.14 and 4.15 show estimates of

parameters

initial

for

various

states

and

Signal-to-Noise

ratios respectively.

TABLE 4.14
ESTIMATED PARAMETERS WITH VARIOUS INITIAL STATES
[SNR=4]
FINAL

INITIAL

PARAMETERS

TIME
STATES
4.5

[-1 1]T

0.1613

1.194

4.679

1.840

0.207

6
4.9571

107
4.5

4.5

4.5

[-2 1]T

[-2 2]T

[-2 -2]T

0.1048

4.965

1.984

0.157

1.115

5.004

1.950

0.171

1.101

4.995

2.116

0.068

0.1190

1.120

0.0346

5.1855

5.1881

5.2892

TABLE 4.15
ESTIAMTED PARAMETERS WITH VARIOUS SIGNAL-TO-NOISE RATIOS
INITIAL STATE [-1
FINAL

0]T

SNR

PARAMETERS

TIME

4.5

4.5

4.5

40

20

10

[1]

[2]

0.1237

1.221

4.401

1.867

0.199

1.214

4.442

1.874

0.178

0.1073

0.0975

1.206

[3]

[4]

[5]

[6]
4.5589

4.6160

4.6971

108
8

4.5

0.0915

4.499

1.899

0.163

1.187

4.731

1.966

0.145

4.9887

NUMERICAL PROBLEM NO 6 [34]

Consider the 2nd order system given by the StateSpace representation as

0 1
0
X =
X(t) + u(t) + w(t)
- 1 0
10

(4.80)

Observation Model was considered as

(4.81)

y(t) = x(t) + v(t)

INITIAL CONDITIONS:
(0) = 0
x(0) = x(0) = [ 0 0 ] T ,

V = diag 100 100 100 100 100 100

V x = diag[ 5 5 ],V x = 0
0
0
0.5
0.1
Vv=
,V w =

0 0.5
0 0.1

Integration

time

step

H=0.05

second,

Observation

109
sampling time S=0.30 second.
Estimates of States and Parameters are depicted in
Table 4.16 & Fig. 4.12 whereas estimates of parameters with
various initial states and SNR's are appended in Table 4.17 &
4.18 respectively.

TABLE 4.17
ESTIMATED PARAMETERS WITH VARIOUS INITIAL STATES
[SNR=10]
FINAL

INITIAL

PARAMETERS

TIME
STATES
9.0

9.0

[0

[1

1]T

[1

1.001

0.025

10.100

0.0007

1.001

0.000

92

1.006

10.044

0.999

0.007

0.048

1.005

10.043

0.998

0.005

0.021

0]T
0.0061

9.0

1]T
0.0035

111

9.0

[1

1.003

1.001

0.002

0.001

2]T

0.0011

7
10.079
7

TABLE 4.18
ESTIMATED PARAMETERS WITH VARIOUS SIGNAL-TO-NOISE RATIOS
INITIAL STATE [0

FINAL

0]T

SNR

PARAMETERS

TIME
[1]
9.0

9.0

9.0

50

25

[2]

[3]

[4]

[5]

[6]

1.000

0.012

10.046

0.0005

1.001

0.000

1.000

0.014

10.048

0.0006

1.001

0.000

1.003

0.012

10.078

1.000

0.001

20
0.0008

112

NUMERICAL PROBLEM 7 [38]

Consider

the

system

described

by

the

differential

equation;
2
dx
d x
+ 14 + 40x = 5 , dx/dt = 1, x = 1
dt2
dt

1 0
0
X =
+ + w(t)
- 40 - 14 5

(4.82)

Observation Model was considered as

y(t) = x(t) + v(t)

(4.83)

INITIAL CONDITIONS;
(0) = 0
x(0) = x(0) = [ 2 1 ] T ,

V = diag 10000 10000 10000 10000 10000 10000

V x = diag[ 1 1 ],V x = 0
0
0
0.001
0.01
Vv=
,V w =

0 0.001

0 0.01

Integration time step H =0.0025, observation sampling

time = 0.025 second.
Estimates of States and Parameters are depicted in
Table 4.19 and Fig. 4.13.

For various initial States and

SNR's, estimates of parameters are shown in Table 4.20 & 4.21

113
respectively.

TABLE 4.20
ESTIMATED PARAMETERS WITH VARIOUS INITIAL STATES
[SNR=1000]
FINAL

INITIAL

PARAMETERS

TIME
STATES
0.75

[2

2]T
0.0458

0.75

[1

2]T
0.0266

0.75

[2

0]T
0.0294

1.037

0.052

39.57

13.77

80

74

1.023

0.015

39.87

13.91

78

34

1.016

0.014

39.89

13.94

39

24

6
5.1405

5.0135

5.0343

TABLE 4.21
ESTIMATED PARAMETERS FOR VARIOUS SIGNAL-TO-NOISE RATIO
INITIAL STATE [2 1]T

115
FINAL

SNR

PARAMETERS

TIME

0.75

0.75

0.75

0.75

100

50

10

10

[1]

[2]

0.0051

0.993

40.29

14.14

0.020

56

44

1.012

39.95

13.97

0.008

43

82

0.967

41.20

14.57

0.085

53

59

0.995

41.62

14.78

0.102

98

53

0.0248

0.0031

0.0981

[3]

[4]

[5]

[6]
4.9161

5.0074

4.6820

4.5517

NUMERICAL PROBLEM 8 [39]

Consider the system described by ;

- 15 3
X =
X(t) + 0
3 -7

)U(t) + w(t), X(0) = - 16 - 6 T

(4.84)

116
Observation Model was considered as
(4.85)

y(t) = x(t) + v(t)

INITIAL CONDITIONS;
x(0) = x(0) = [ - 16

(0) = 0
- 6 ]T ,

V = diag 10000 10000 10000 10000 10000 10000

V x = diag[ 2 2 ],V x = 0
0
0
0.25
0.1
Vv=
,V w =

0 0.25
0 0.1

Integration time step,H= 0.0025, Observation sampling

time,S= 0.025.
Estimates of States and Parameters with the above
initial

conditions

are

depicted

in

Table

4.22

&

Fig.4.14.

Estimates for various initial states and SNR's are appended in

Table 4.23 & 4.24 respectively.

TABLE 4.23
ESTIMATED PARAMETERS VARIOUS INITIAL STATES
[SNR=8]

119
FINAL

INITIAL

PARAMETERS

TIME
STATES
0.75

[-16 -8]T

15.020

[-16 -10]T

2.802

0.140

6.810

0.0472

0.0977

14.838

2.497

2.732

6.752

0.140

4
0.60

[-20

-6]T

2.706

1
0.60

15.132

2.725

2.906

6.858

0.113

0.0064

TABLE 4.24
ESTIMATED PARAMETERS WITH VARIOUS SIGNAL-TO-NOISE RATIOS
INITIAL STATE [-16 -6]T
FINAL

SNR

PARAMETERS

TIME
[1]
0.60

0.60

50

10

[2]

[3]

[4]

[5]

[6]

2.936

3.008

15.1518

6.9770

0.0313

0.0205

3.149

2.975

15.3606

6.9498

0.0027
0.1213

120
0.60

2.456

2.795

14.9564

6.7398

0.3069

0.0725

NUMERICAL PROBLEM 9 [33]

Consider a 2nd order system described by State-Space
representation;

0 1
0
T
X =
X(t) + U(t)+ w(t), X(0) = 1 1
- 10 0
10

(4.86)

Observation Model was considered as

y(t) = x(t) + v(t)

(4.87)

INITIAL CONDITIONS:
(0) = 0
x(0) = x(0) = [ 1 1 ] T ,

V = diag 100 100 100 100 100 100

V x = diag[ 0.1 0.1 ],V x = 0
0
0
0.001
0.01
Vv=
,V w =

0 0.001

0 0.01

Integration time step ,H=0.0025, Observation sampling

121
Time,S= 0.05.
Estimates of States and Parameters obtained with the
above initial conditions are depicted in Table 4.25 and Fig.
4.15.
Estimates of Parameters for various initial states
and SNR's are appended in Table 4.26 & 4.27 respectively.

TABLE 4.26
ESTIMATED PARAMETERS WITH VARIOUS INITIAL STATES
[SNR=100]
FINAL

INITIAL

PARAMETERS

TIME
STATES
1.5

1.5

1.5

1.5

[2

[1

[2

[3

1]T

2]T

2]T

2]T

0.0001

1.002

9.9702

1.003

0.0137

9.8666

1.002

0.017

0.0075

9.9736

0.0002

1.001

0.012

0.0045

9.9957

0.0022

0.0023

5
0.000

6
9.9702

7
0.0000

0.023

9.8108

8
9.9561

9.9786

123

TABLE 4.27
ESTIAMTES OF PARAMETERS WITH VARIOUS SIGNAL-TO-NOISE RATIOS
INITIAL STATE [2 1]T
FINAL

SNR

PARAMETERS

TIME
1
1.5

1.5

1.5

50

10

0.0411

0.0408

0.0407

1.007

9.46246

0.0236

0.0487

1.006

9.46243

0.0153

0.0487

1.005

-9.4768

0.0089

0.0490

6
9.3569

9.3786

9.3958

NUMERICAL PROBLEM 10 [27]

Consider the roational motion of three-dimensional
rigid space craft described by the differential equation:
1 0
u 1

J + S = T U T Where T _ 0 1 ,U T _
u 2
0 0

124
S is the skew symmetric-matrix i.e.

0 ( J 11 - J 33 ) 3 0

S = ( J 11 - J 33 ) 3
0 0 , J = interia, = angular velocity

0
0 0

Let (J11-J33)/J22 = -1 , u2 = 0.

Thus we get

0 - 1
1
X =
x(t) + U(t) + w(t)
0
1 0

(4.88)

Observation Model was considered as

(4.89)

y(t) = x(t) + v(t)

In order to estimate the States and Parameters of

this system initial conditions were assumed as
(0) = 0
x(0) = x(0) = [ 1 1 ] T ,

V = diag 10 10 10 10 10 10
V x = diag[ 10 10 ],V x = 0
0
0
0.5
0.01
Vv=
,V w =

0 0.5
0 0.01

H=0.05 seconds, S = 1 second.

Estimates of States

and Parameters achieved with the above initial conditions are

depicted in Table 4.28 & Fig. 4.16.
Estimates of Parameters with various initial states
and SNR's are appended in Table 4.29 and 4.30 respectively.
TABLE 4.29
ESTIMATED PARAMETERS FOR VARIOUS INITIAL STATES
[SNR= 10]

127
FINAL

INITIAL

PARAMETERS

TIME
STATES
1.5

[2

1.5

[1

1.5

[2

1.5

[2

1]T

2]T

2]T

0.998

1.507

0.0074

1.0042

0.0039

0.0658

0.992

1.097

0.0207

1.0246

0.0011

0.0511

0.997

1.064

0.0061

1.0079

0.0017

0.0620

0.996

1.059

1.0080

0.0026

0.0589

3]T
0.0004

TABLE 4.30
ESTIMATED PARAMETERS FOR VARIOUS SIGNAL-TO NOISE RATIOS
1]T

INITIAL STATE [1
FINAL

SNR

PARAMETERS

TIME
[1]
1.5

1.5

50

20

0.0088

[2]

[3]

[4]

[5]

[6]

0.974

1.070

1.0326

0.0131

0.0658

1.001

1.084

128

1.5

0.0323

1.0068

0.0017

0.0776

1.009

0.0067

1.074

0.0320

0.9985

0.0816

NUMERICAL PROBLEM 11 [34]

Consider

third

order

system

described

by

the

differential equation
T

3
2
dx
d x d x
+
+ K 2 (1 - k 3 x2 ) + K 1 x = 0, T = 1, K 1 = K 3 = 0.915, K 2 = 1
3
2
dt
dt
dt

State space representation of the Model will be

0
1 0

X =
0
0 1 X(t) + 0 u(t) + w(t)
- 0.915 - 0.77125 - 1
0

(4.90)

Observation model was considered as

y(t) = x(t) + v(t)

(4.91)

For simulation of this problem following initial conditions

were considered;

129

(0) = 0
x(0) = x(0) = [ 3 0 0 ] T ,

V = diag 10 10 10 10 10 10 10 10 10 10 10 10
V x = diag[ 2 2 2 ],V x = 0
0
0
0
0
0.1
0.1

0 ,V w = 0 0.1
0
V v = 0 0.1
0
0
0 0.1
0 0.1

Integration

time

step,H=0.05

second,

Observation

sampling time,S= 0.5.

Estimates of States and Parameters are depicted in
Table 4.31 & 4.32 & Fig. 4.17 .

NUMERICAL PROBLEM 12 [37]

Consider a third order system described by
0 1 0
0

X = 0 0
1 X + 0 U + w(t), X(0) = 0
0 - 3 - 2
1

Observation model was considered as

y(t) = x(t) + v(t)

INITIAL CONDITIONS:

(4.93)

132

(0) = 0
x(0) = x(0) = [ 1 1 1 ] T ,

V = diag 100 100 100 100 100 100 100 100 100 100 100 100
V x = diag[ 5 5 5 ],V x = 0
0
0
0
0
0.1
0.01

0 ,V w = 0 0.01
0
V v = 0 0.1
0
0
0 0.1
0 0.01

Integration time step,H=0.025, Observation sampling

time,S= 0.25.
Estimated States and Parameters are depicted in Table
4.33 & 4.34 & Fig. 4.18.

NUMERICAL PROBLEM 13 [39]

Consider a third order system described by
1 0
0
0

X = 0
0
1 X + 0 U + w(t), X(0) = 1 0 0 T
- 6 - 11 - 6
0

(4.94)

Observation model was considered as

y(t) = x(t) + v(t)

(4.95)

136

INITIAL CONDITIONS:

(0) = 0
x(0) = x(0) = [ 8 0 0 ] T ,

V = diag 100 100 100 100 100 100 100 100 100 100 100 100
V x = diag[ 3 3 3 ],V x = 0
0
0
0
0
0.05
0.01

0 ,V w = 0 0.01
0
V v = 0 0.05
0
0
0 0.05
0 0.01

Integration time step,H=0.025

time S =

,Observation sampling

0.25
Estimated States and Parameters are appended in Table

4.35 & 4.36 and Fig. 4.19.

NUMERICAL PROBLEM 14 [30]

Consider a third order system described by
1
0
0
0

X = 0
0 - 0.08 X + 20 U + w(t)
30.3 0.3 - 0.11
0

(4.96)

Observation model was considered as

y(t) = x(t) + v(t)

(4.97)

140

INITIAL CONDITIONS:

Integration time step,H=

Observation sampling time,S=

Estimated States and Parameters are appended in Table

4.37 & 4.38 and Fig. 4.20.

CHAPTER-5

DISCRETE EXTENDED KALMAN FILTER

5.1 INTRODUCTION:
Discrete version of the Extended Kalman Filter has
been widely discussed and its numerous application in various
fields have been reported in the literature.
application can be found in

Accounts of these

[15,40-57]

However , the estimation of both states and Parameter

has attracted very few papers.

A description of the EKF is

given by Jazwinski,1970 [15] ,Melsa and Sage,1971 [13].

The

non-linear EKF is given by

(t + 1) = (t, (t)) +W(t)

y(t) = h(t, (t)) +V(t)
The

estimate

of

the

state

(t+1)

(5.1)

is

achieved

from

the

obervation y(t), t= 0,1,2,......n and is obtained recursively

by

(t + 1) = (t, (t)) + N(t)[y(t) - y(t)]

(5.2)

where N(t) is given by

N(t) = (t, (t))P(t) H T (t, (t))

x [H(t, (t))P(t) H T (t,(t)) + Rv (t) ] -1
and

(5.3)

144
P(t + 1) = F(t, (t))P(t) F T (t,(t)) + R w (t)
- N(t)[ Rv (t) + H(t,(t))

(5.4)

.P(t) H T (t,(t))] N T (t)

where

F(t, ) =
(t, )| = ,

H(t, ) =
h(t, )| =

(5.5)

T
T
RV (t) = _ (V(t) V (t)); R w (t) = _ (w(t) w (t))

Jazwinski,1970 gave this algorithm for continuous time system

with discrete-time measurements.

Since linearisation of the

model is required with every recursion in order to use the

established theroy of linear Kalman filter and very natural and
simple feature is to make recursion in two steps as measurement
update

and

between.

time

update

and

to

make

relinearisation

We will discuss this feature in section 5.3.

in
Our

aim in this chapter is to use the EKF as State and Parameter

estimator with its discrete version.
chapter

the

linearisation.

problem
We

is

will

As stated in the previous

non-linear

have

the

one

and

approach

will

similar

require
to

the

Continuous time filter in Chapter 4.

5.2 PROBELM FORMULATION:
EKF

approach

to

determine

the

unknown

parameter

vector is obtained by extending the state vector X with

Parameter Vector = (t). Let us we consider the model for
system as under

145
x(t + 1) = AD ( )x(t) + B D ( )u(t) + (t)

(5.6)

y(t) = C D ( )x(t) + e (t)

where
_ (t) T (s) = Qv ts , _ e (t) eT (s) = Qe ts
_ (t) eT (s) = Qc ts , _ x(0) = 0

(5.7)

_ x(0) xT (0) = ( )

Applying algorithm given by Ljung,1979 [31] for discrete EKF

with the augmented state as under

x(t)

Z(t) =
(t)

we will have the state equations

as under :
(t)

z(t + 1) = (z(t),u(t)) +
0
y(t) = h(z(t))+ e(t)

(5.8)

A( )x(t) + B( )u(t)
(z(t),u(t)) =

h(z(t)) = C( )x(t)

(5.9)

where

Thus EKF equation for this extended

state equation will be
c
T T (z
z(t
++
1)
=[F(
(z(t),
u(t))
h(z(t))]
-(t),
N(t)[y(t)
+
P(t
1)
=
F(
z(t),
u(t))P(t)
u(t))
F(z(t))
N(t)
=
+u(t))
Q ]
H| u)
F(z(t),
(z,
H(zz(t),
(t))u(t))P(t)
== h(z)
|
z(t)= z(t)
z(t)= z(t)
v
zTzz(0)z(t))
=
0)
Qz(-tN(t)[H(
x [H(z+
(t))P(t)
+ W e ] -1
H (z(t))
u(t))
C(T)(z(t))
=
e (t),
M(, D(
(t),
x(t),
A(
T
V x(t))
(t))
+
.
]
(t)
Q
N
H
R
=P(t)

0 , P(0) = Po
I

(5.10)
(5.11)
(5.14)
(5.13)
(5.12)

146
Estimator for linearised Model is given by

TT T T -1 T T
T
TT T T
T T
PS(t
K(t)
[L(t)
++
(t
1)
=
(t)
(t)
=
(t)
+
1)
-(t)
(t)
(t
+
(t)
-tPtP
L(t)
(t)
=
[t(t)
+
]D
A+
P
M
At M
Dt
P
A
PP
ASC
P
t (t)]
SttP-t2 y(t)
C
C2+
1(t)
L(t)[y(t)
(t)]
PX2(t(t=
A
L
PC
P
t+
1C
tA
tt+
1C
Lt2y+
++1
1)
=
xt=
K(t)[y(t)
2tD
t1)
S
tu(t)
t(t)
P(t)
3t=
3+
t-tK(t)
2=
33(t)
A1)
B
ttM
T T
c
T (0)
T T (t)
-1 T e
+t+
+
(t)STtM
003Q
(0)
=
PP
M
Pt 2PC
A(0)
M
=t=
0
2+
+D
(t)
3
tD
+
otP
PM
D
P
3 ]D
2t (t)
t
t(t)
2x
t +t Q

(5.19)
(5.21)
(5.22)
(5.15)
(5.16)
(5.17)
(5.18)
(5.20)

- K(t) S t K T (t) + Qv
P1 (0) = 0 ( 0 )

where the following identities have been used:

P1 (t)
M( (t), X(t),
u(t)) P2 (t)
M
t=
K(t)
N(t) =
,
P(t)
=

T
x(t))
(t)
Dt = D( (t), P

L(t)
(t)
P
3
2
At = A( (t)), Bt = B( (t)), C t = C( (t))

T
c
S t = ( C t Dt )P(t)( C t Dt ) + Q

(5.24)
(5.23)

5.3 MODIFIED KALMAN FILTER:

If we separate the above problem into two recursion
i.e. time update and measurement update and then performing the
linearisation in between, we will get the algorithm as :
The observation model will be considered as
Z(t+1) = X(t+1) + V(t+1)

(5.25)

It is assumed that D(t) = 0, C(t) = I ,QC=0 and

x 0 u 0
M( (t), X(t), u(t)) =

0 x 0 u
It is also assumed that is the column matrix
B]T.

(5.26)

such as = [A

147

(t +
+1)
1)=
=M
K(t +
+1)
1)P01(t(t+
+1)
1/t)
PX1(t
P1t(t(t)+1/t)

(t) +- K(t

= P2 (t +
1/t) - K(t + 1) 2 (t + 1/t)
P2 (t +1)
(t + 1)
= (t) + L(t) 0 (t +P1)

P3 (t + 1)0 = P3 (t + 1/t) - L(t + 1)P2 (t + 1/t)

(t + 1) = y(t + 1) - M t (t)

T
T
P1 (t + 1/t) = At (t) P1 (t) At + M t (t) P3 (t) M t (t)
+ At (t) P 2 (t) M Tt (t) + M t (t) PT2 (t) ATt
P 2 (t + 1/t) = At (t) P 2 (t) + M t (t) P3 (t)

(5.28)
(5.27)

(5.29)

P3 (t + 1/t) = P3 (t)

K(t + 1) = P2 (t + 1/t)[ Qe + P1 (t + 1/t) ] -1

L(t + 1) = PT2 (t + 1/t)[ Qe + P1 (t + 1/t) ] -1

(5.30)

TOSHIO YOSHIMURA, KATSUNOBU KONISHI and TAKASHI SOEDA,1981 [32]

formulated the equations for estimation of State and Parameter
as
X(t + 1) = M t (t) (t) + K(t + 1) 0 (t + 1) + C(t) (t)
(t + 1) = (t) + L(t + 1) 0 (t + 1) + C(t) (t)

where

C(t)

is

an

estimation

of

the

suitable

(5.31)

compensator.

Landau(1978 )[54,55] suggested the following approximation

C(t) = - I + G x (t + 1)-1 At (t)

(5.32)

148
where Gx(t+1) is given as
G x (t + 1) = P1 (t + 1/t) - M t (t) P3 (t) M t (t)Q

e-1

(5.33)

If Gx(t+1) is allowed to be zero we will have the

structure

of

algorithm

identical

to

the

model

reference

adaptive approaches( Landau 1976 ,1978 )[55,56] where C(t) is

given by -At(t).
5.4 SIMULATION
Various 2nd order systems were simulated with the
above algorithm on the computer.

The flow chart of computer

programme is shown in Fig. 5.1. Some of the Numerical Problems

simulated are illustrated here.
NUMERICAL PROBLEM 1 [32]
Consider the following second order system given by

x1 (k + 1)

=
x2 (k + 1)

1 2 x1 (k) 5
+ u(k)

3 4 x2 (k) 6

z1 (k + 1) x1 (k + 1) v1 (k + 1)

=
+

(k
+
1)
(k
+
1)
z 2
x2
v2 (k + 1)

Initial conditions:

(5.34)

(5.35)

149

(0) = 0
x(0) = x(0) = [ 0 0 ] T ,
= [ 0.5 0.1 0.1 0.5 1.0 1.5 ]
P3 = diag 10 10 10 10 10 10
P1 = diag[ 10 10 ], P 2 = 0
1. 0
Vv=

0 1.

Estimates of the states and parameters achieved with

the above initial conditions are appended in Table 5.1 & Fig.
It was assumed thatw(t) & P2=0 t.

5.2.

Input

was

simulated

with

Pseudo-random

Binary

Sequence with its value +1 and -1 as per the algorithm given

below:

qi mod (i2 , N), BSi = qi

BSi = j then

BSi +1
whilei_N do For j = 1, N do
Else

BSi -1

OutputBS= (BS1 , BS2 ,....., BSn )

For noise simulation , Random Numbers were generated

as

per

the

algorithm

given

in

Chapter

4.

Both

uniformly

distributed and Gaussian distributed Random Numbers were used

152
for checking the identifiability.
estimated

parameters

for

Table 5.2 and 5.3 show the

uniformly

distributed

Gaussian distributed Noise respectively.

Noise

and

It was observed that

estimates of Parameter are good for uniformly distributed noise

in comparison to the Gaussian distributed Noise.
NUMERICAL PROBLEM 2 [48]
Consider a second order system

1.8 1.0
1.0
X(k + 1) =
x(k)
+

u(k)
- 0.8 0.0
- 0.4
This

problem

was

simulated

with

(5.36)

the

initial

conditions of state and variances as given in Problem No.1

above.

The estimates of States and Parameters achieved are

shown in Table 5.4 & Fig. 5.3.

NUMERICAL PROBLEM 3 [48]
Consider a second order system

1.0 1.0
1.0
X(k + 1) =
x(k)+
u(k)
- 2.0 0.0
- 2.0

(5.37)

The simulation of this problem was carried out with

the

initial

conditions

as

that

of

Problem

No.1

and

the

estimated states and parameters are shown in Table 5.5 and Fig.
5.4.

CHAPTER 6

CONCLUSION

The field of Identification of Parameters and States

is

presently

under

intensive

research.

After

the

IFAC

symposium(1960) at Moscow, a tremendous amount of publication

has reflected the intensive efforts devoted to the development
of theory, software and applications of such techniques.

The

most significant development can be traced back to parallel

development in Electronic Computers with maximum concentration
on the discrete-time system.
Estimation

of

state

variable

in

case

of

known

parameters , and conversely the estimation of parameters in

case of known state variable, is always less difficult than the
joint State and Parameter estimation representing a non-linear
problem.

In the latter case, the estimation may be biased or

diverge.

The

displayed

by

insight

into

Ljung,1979

the

convergence

[31].

Realization

mechanism
of

was

modification

suggested by Ljung were reported in [50,51].

Parameter
possibly

less

estimation

prevelent

than

of

Continuous-time

that

of

system

discrete-time

is
but

nonetheless,it is an area of extensive research.

EKF
parameters

approach

reported

so

for

joint

far(mostly

estimation
for

of

states

and

discrete-time)

are

associated with adhocism for solution of particular problem

i.e. there is no general solution available.

In order to make

the estimation algorithm acceptable some manual adjustment of

the algorithm is required.
The EKF algorithm

developed in this thesis-which was

tried on various problems and conclusions drawn on account of

simulation are:
1)Parameter estimation converges for most of the initial states
and Signal to noise ratios.

However, some of the initial

states and SNR's may cause divergence of the filter since

the positive real condition of the riccati equation gets
voilated.

This divergence problem can be alleviated with

suitable choice of the initial condition or observation

noise.

The choice of observation noise hardly affects the

parameter estimation in discrete-time system.

2)If

we

express

parameters

high
i.e.

uncertainity
high

in

variance,

the

initial

rapid

value

changes

in

of
the

initial values occur which has its added adventage for

estimation of system parameters with high numerical value
in

minimum

time

,however,

uncertainity

in

the

states should be minimum i.e. Vx should be minimum.

for

most(if

not

all)

engineering

problems

initial
Since
apriori

knowledge of the states is always available ,hence this

assumption seems fair.
3)Pre-requisite for getting the algorithm converged is maintain

163
the parameter estimator gain Kk high for a longer period.
Whereas
estimator,

this
more

algorithm
insights

can
into

be

considered

the

convergence

as

Robust
analysis

,behaviour of variance differential equation is required to be

studied.
The
continuous-time

algorithm
systems

developed
is

very

in

this

simple

and

dissertation

for

computationally

efficient and has enough scope for real-time applications in

various engineering fields.

164

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104,1/1990.
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Feedback

Control

with

Pole

Assignment",IEE

Proc.,Vol.128,Pt.D,No.3,pp.93-101,5/1981.
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Grimble,M.J.,"Adaptive

Systems

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Kalman

Filter

Unknown

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Control

of

Disturbances",IEE

Proc.,Vol.128,Pt.D,No.6,pp.263-267,1981.
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Tyss/
o,A."Modelling

&

Parameter

Estimation

of

Ship

Boiler",Automatica,Vol.17,No.1,pp.157-166,1981.
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Brovko,O.

et.

al"

The

Extended

Kalman

Filter

as

Pulmonary Blood Flow Estimator" Automatica,Vol.17,No.1,pp.213220,1981.

[52] Hostetler,Larry D. & Andreas, Ronald D."Non-Linear Kalman
Filtering Techniques for Terrain-Aided Navigation",IEEE Trans.
on AC,Vol.28,No.3,pp.315-323,3/1983.
[53] Wallace, John N. & Clarke, Ray " The Application of Kalman
Filtering Estimate Techniques in Power Station Control",IEEE

170
Trans. on AC,Vol.28,No.3,pp.416-427,3/1983.
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Reference

Adaptive

Techniques",IEEE

Trans

on

AC,Vol.21,No.2,pp.194-202,4/1976.
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Landau,I.D."An

Addendum

to

Unbiased

Recursive

Identification Using Model Reference Adaptive Techniques",IEEE

Trans on AC,Vol.23,pp.97-99,1978.
[56] Dressler,R.M. & Ross,D.W."A Simplified Algorithm for SubOptimal

Non-Linear

State

Estimation",Automatica,Vol.6,pp.477-

480,1970.
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Lawrence,R.Rabiner

Digital

Signal

&

Gold,B."Theory

Processing,"New

&

Application

Jersey:Prentice

of
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Inc.,Englewood cliffs,1975.
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[60] Roberts,P.D. et al " Statistical Properties of Smoothed
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Linear

Binary

Sequences",Proc.

IEE,Vol.113,No.1,1/1966.
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Briggs,P.A.N.

et.

al

"

Pseudorandom

Signals

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Dynamic Analysis of Multivariable Systems " , Proc. IEE, Vol.

113 ,No.7,7/1966.
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Macleod,C.J."System

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Identification

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Pseudo-random

Signals",Automatica,Vol.4,pp.393-416,1968.

Binary

Input

172
ANNEXTURE-A

RANDOM NUMBER GENERATOR

IN practice ,ideal white noise inputs to a system can't be

realized

since

they

were

shown

to

imply

un

randomness with an infinite frequency spectrum.

autocorrelation

integral

may

approximate

-correlated
However, the

delta

function

i.e.white noise if u(t) is random noise with a flat frequency

spectrum that is much wider than that of the system ,or if it
is a pseudo-random -binary -sequence of periodic nature.
Almost

every

simulations

utilizes

based

set

on

of

random

completely

unique

sequence of numbers.

number

and

generator

determined

rigid

rules,

used

for

calculation
to

generate

,
a

Such random-numbers generated are termed

as Pseudo-Random Numbers.
Before

, we

go in for simulation of

white

noise

through generation of Pseudo-random Number, let us discuss some

of the procedures for generation of these numbers.
1) Congruential Method: [57]
This is the most widely used method for generating
uniformly distributed Numbers.

As per this method generation

of sequence of uniformly distributed pseudorandom integers xi,

i= 2,3,5,...,n uses the recursion relation
xi = a xi-1 ( mod m)

(A.1)

in which a and m are integer constants. A random floating -

173
point number Zi , uniformly distributed between 0 and 1 , is
then given by Zi = xi/m.

The modulus m is is a large integer,

usually of the from 2 or 10 ( for binary and decimal machines

respectively)
Normally

distributed

stochastic system .

variables

are

encountered

in

the

In order to simulate these variables,

Gaussian Distributed Numbers can be used.

One easy method for

this was suggested by Box and Muller(1958) involves generation

of a pair of standardized uniform numbers r1 and r2 by letting

x1 = - 2 ln r 1 cos(2 r 2 )

(A.2)

x2 = - 2 ln r 2 sin(2 r 2 )

A second direct approach for generation of normally

distributed numbers is due to Teichroew.

-6 /4

The procedure is ;

i=1

ri

(A.3)

x = ( C1 R2 + C 2 ) R2 + C3R2 + C4R2 + C5 R

(A.4)

R=

12

Finally set

where C1 = 0.0298899776,C2 = 0.008355968,

C3 = 0.076542912 ,C4 = 0.252408784
C5 = 3.949846138
The number x has the desired normal distribution.
Also

gaussian

uniformly
Theory.

distributed

distributed

nubers

numbers

by

can

be

the

use

obtained
of

from

Central

the

Limit

174
Given the various methods available in the literature
for generation of Random Numbers, the procedure adopted in this
thesis for this purpose is appended as below:
I

GENERATION OF UNIFORMLY DISTRIBUTED NUMBERS:

Uniformly distributed numbers between 0 and 1 were

Seed(i + 1) = { + seed(i) }2 - trunc{ + Seed(i) }2

(A.5)

obtained as per the recursion given below [35];

Seed(i) is any number between 0 and 1
II

GENERTAION OF GAUSSIAN DISTRIBUTED NUMBERS :

Theoretical way of converting a pair of uniformly

distributed random variables to Gaussain distributed variables

was used as reported by Rabiner & Gold(1989)[58];
If we let { x(n) } be a sequence of uniform random variables
distributed between 0 to 1 , and define y(n) as
1

y(n) = 2 2 ln
x(n)

(A.6)

Then y(n) is Rayleigh distributed; i.e. ,

- y0 2

y ( y0 ) = 2 exp
2
2

y0

(A.7)

Thus we can form two random variables W(n) and W(n+1) with zero
mean and variance 2 as under:
W(n) = y(n) cos(2x(n + 1))
W(n + 1) = y(n) sin(2x(n + 1))

(A.8)

175

PSEUDORANDOM BINARY SEQUENCES:[59-63]

The use of pseudorandom binary sequences(PRBS) for
the identification of linear -time-invariant system is well
established ( Briggs et al,1967).

The methods generally used

consists of obtaining an estimate of the impulse response of

the unknown system by cross-correlating delayed version of the
PRBS

with

the

observed

response

of

the

system

to

PRBS

perturbing signal.
Also PRBS as test signal has been used to estimate
the parameters of pulse transfer function.
properties

of

pseudorandom

sequence

The Statistical
are

obtained

by

considering product averages and amplitude distribution taken

over one complete cycle of the sequence.
These properties are usually discussed in terms of
second and auto-correlation functions and amplitude probability
density

functions.

Pseudorandom

sequences

are

basically

discrete processes, but can be turned into a continuous form by

holding signal levels constant between data points to give a
staircase

signal.

The

statistical

properties

of

equivalent

discrete and continuous processes are closely related .

The

discrete form of the second order auto-correlation function for

a sequence {C} of length L is given by

1 (n) =

1 r=0
C r C r +n
L L-1

(A.9)

176
PRBS is the most probably the most convenient inputs for the
purpose

of

Identification

since

their

auto-correlation

integrals yields a better approximation to the delta function.

These sequences are periodic and their period being relatively
short. Some

methods for generation of PRBS

are detailed

below:
a) Maximal Length Pseudo-random sequence:
It satisfies a linear difference equation (modulo 2)
, as follow:
m
m-1
D x D x + .........Dx x = Y
(A.10)

Where Dm denoting a delay of m interval such that Dm xi = xi-m, i

being the sampling instance, denoting a modulo 2 addition such
that 00= 11=0, 01 = 10 = 1, and therefore , ( DD)x = 0
x .

This equation can be written as:

( Dm Dm-1 ........... D I)x = Y

(A.11)

I= being the identity operator.

A delay sequence { xi} of order m as in Equ.(A.12) with y=0 is
called a NULL SEQUENCE.

The solution satisfying

a null sequence are of periodic nature.

The maximum No. of

elements in a Null Sequence are of order of m are 2m -1 , and

the

resulting

sequence

is

called

maximum

length

null-

sequence(MLNS).
A polynomial equation of the form:

( Dm ......... D I)x = 0

(A.12)

177
that yields an MLNS must be irreducible(i.e. it should not be
product of two or more lower order polynomials and it should
not be a factor modulo 2 of DN1 @ n<2m-1 i.e. it should not
divide modulo 2, the expression Dm +1).

We considered a 11 th

polynomial and the sequence was generated on the computer, the

algorithm of which is given below.

xi11
Generate M LNS
For j = 1toN do x i +1, j+1 x ij

while i_( 2n - 1)do

then x i +1,1 0
if x i +1,n -1 x i +1,n +1 = 0 1 Else
x i +1,11

OutputX= ( x11, x 21, x 31,... x n 1

2.

QUADRATIC

-RESIDUE

CODES

FOR

(A.13)

PSEUDO-RANDOM

SEQUENCES
Whereas the number of elements in MLNS codes can take
values of 2n-1 only( say 3,7,15,31,63) , the number of elements
in quadratic-residue sequences can take values that are much
closer together

(3,7,11,19,23).

Consequently, sequences of

intermediate length between two possible lengths of MLNS may be

chosen.

The number of elements of quadratic-residue pseudo-

random sequences is given by:

N= 4k-1, k= Integer , N = prime Number
It is generated as per the algorithm given below

178

q 1

qi mod (i2 , N), BSi qi

BSi = j then

BSi +1
whilei_N do For i = 1, N do
Else

BSi -1

OutputBS= (BS1 , BS2 ,.., BSn )

(A.14

NON-LINEAR CONTROL SYSTEM

Most (if not all) system encountered in the real

world

are

non-linear.

In

many

cases,

however,

the

non-

linearity is of such a nature that it is possible to establish

a linear model that is approximately equivalent to the actual
system over the range of operation of interest.

In such cases,

the techniques of linear model can be applied to the analysis

and design of the linear model, but it should be remembered
that the performance thus determined corresponds to the model
and not to the real system.
approach,

of

course,

is

The justification for such an

that

because

of

the

approximate

equivalence of the real system to the model, the performance

determined in that manner is approximately the performance of
the

real

system

over

the

range

of

operation

under

consideration.
These are systems which could not be linearised
easily

and

require

different

techniques

to

cope

with

the

problem.

The linearily property is rather an idealised

notion.

Whereas

unavoidable.
into

the

the

non-linearils

are

understandable

and

There are cases where non-linearily is introduced

system

purposely

to

achieve

certain

objectives.

Linearsation is the approximate method to study the non-linear

system, it is incapable of giving reasonable explanation of
certain

phenomenon-characteristics

oscillations; jump phenomenon etc.

such

as

time

cycle,

In case of linear system

superposition, therefore, aplies whereas it is not so in case

of non-linear system.

Nevertheless, there are certain linear

methods of analysis which could be applied to fairly large

class of non-linear system.

As explained above, in order to study the nonlinear

system,

obtained.

linearised

version

of

the

real

system

is

Besides the above differences between linear and

non-linear system, stability is another one.

STABLITY:

So

long

as

any

minute

disturbance

of

the

parameter of a system does not charge the character of the

response, the system is said to be structurally stable.

An

example of a linear system that is at structurally stable would

be one whose characteristics roots are pure imaginations.

LIAPOUNOV STABILITY THEORY:

The Concept

of the stability of an equilibrium

is somewhat familiar from elementary mechanics.

for

example,

conserved
equilibrium

that

in

that

is,

position

system
in

whose

mechanical

'conservative

corresponding

to

It is known,

energy

system'
minimum

potential energy is a stable equilibrium position.

of

is
an
the

This is

schematically

represented

in

Fig____,

where

the

fricherless

motion of a particle under the influence of gravity on a given

curve y(x) in the vertical xy - plane is depicted.

Equilibrium position are located at all points

where the curve has a horizontal target, that is where dy/dn is
equal to zero.

The

point

A (

potential energy)corresponds to a

a relative

minimum of the

stable equilibrium position;

the points B (a relative maximum

of the potential energy) and C ( a point of inflection with
horizontal

target)

corresponds

to

unstable

equilibrium

position.

Langrange

(1788)

developed

theory

for

stability of an equilibrium for a minimum of the potential

energy,

regorous

proof

was

given

later

by

Dirichlet.

Dirichlet proof provided inspiration for the Ruosian engineer

A.M.Laipounor do develop his stability concept given by him,
now

plays

an

important

differential equations.
appeneded below:

x = f (x,t)
where XT = (1, 2......,)
f= (,t...,

role

in

the

theory

of

binary

The representation of the same is

It

is

assumed

that

condition

sufficient

to

guarantee the existance and uniquences of the solution of (1)

on their domain of detrition are satisfied for tE[t].

solution of (1) thus is uniqualy deterimined by its initial

conditions, generally denoted by X = x(,,t) with x(,;t) =

If we consider a specific solution x(a,to,t), then x(a,,t) is

said to be stable, if the difference x(,,t) - x(a,;t) remains
smaller than an arbitrary given small E, for all time, as long
as is chosen sufficiently close to a.

More precisely :

x(a,,t) is stable, if for every (arbitrary small) E >0 there

exists a f(E) >0 such that

|x0 - a|< ( )_ | x( x0 ,t 0 ,t) - x(a,t0 ; t) |< t_ t 0

The

solution

x(x0,

to,t)

thus

remains

in

an

arbitrary thin tube about x(a,to,t) in the "Augmented State

space") (IR n+1 corresponds to x1,x2,....,xn,t) for all time,
as long as xo is chosen sufficiently close to a

The solution x(a,to,t) has a stable trajectory

or is orbitally stable iff for every (arbitarily small) E>o
there exist a 8(E)>o and a function t,(t) such that

If for every E 0 there exists a F - sphere about a such that

all solution which begins in this sphere at t = to, never have
this tube, then x(a,to,t) is oriatally stable.

A solution

x(a,to,t) is

attractive

iff there

attractive

is

exists an E > 0 such that

solution

which

is

both

stable

and

called

asymplotically stable.

2.2.3

STABILITY DEFINITION FOR NON-LINEAR SYSTEMS

Stability of non-linear system is more complex

matter than the stability of linear system.

Even in linear

systems, however, two definitions of stability were suggested.

One definition requires that any transient eventuality does
out, and the second that the response of the system, bounded
for

all

bounded

inputs.

For

non-linear

systems,

numerous

definitions have been proposed and used by various workers.

Many of these definitions are of only limited use and are not

gone through while working on this disseration.

The particular

definitions used are detailed below:-

Local stability

or stability in the small strictly applies

only in the infinitesimal region about a singular point.

First

degree approximation yield information about the stability.

2)

Global stability

or stability in this large refers to the

entire finite region of the state space.

This is very strong

criterian and is very difficult to prove.

Stability for a

finite between local and global stability.

3) Finite stability
usually

may

be

is rather difficult to prove rigorously

infeared

from

local

stability,

especially true for pricewise - linear systems.

this

is

The converse

is not true, however, for a locally unstable system it is

impossible to predict finite or focal conditions.

If for any initial conditions within the region

under

consideration

close

to

the

the

singularity

state
as

point
time

approaches

approaches

arbitrarily

infinity,

the

system is said to exists asyaptotic stabiltiy.

Asymaptolic stability excludes the possibility
of dynamic equibrium such as a stable limit cycle.

Global

asymplotic stability is the strongest condition that may be

placed on a non-linear invariant system.

Monotric stability is

a stronger condition, but it means the same thing as asymptotic

stability in a fixed parameter system.

In a TVP system, however, it is conceivable for

the response to a given initial condition to grow for a time
before finally tending to static equibilirium.

This case would

be one of asymptotic stability but not monotonic stability.